Home Articles List Article Information
Journal of Optimization in Industrial Engineering
Journal Archive
Volume Volume 12 (2019)
Volume Volume 11 (2018)
Volume Volume 10 (2017)
Volume Volume 9 (2016)
Volume Volume 8 (2015)
Volume Volume 7 (2014)
Volume Volume 6 (2013)
Volume Volume 5 (2012)
Volume Volume 4 (2011)
Volume Volume 3 (2010)
Volume Volume 2 (2009)
Volume Volume 1 (2008)
Kazemi, A., Shakourloo, A., Alinezhad, A. (2017). A Fuzzy Goal Programming Model for Efficient Portfolio Selection.. Journal of Optimization in Industrial Engineering, 10(22), 61-71. doi: 10.22094/joie.2017.277
Abolfazl Kazemi; Ali Shakourloo; Alireza Alinezhad. "A Fuzzy Goal Programming Model for Efficient Portfolio Selection.". Journal of Optimization in Industrial Engineering, 10, 22, 2017, 61-71. doi: 10.22094/joie.2017.277
Kazemi, A., Shakourloo, A., Alinezhad, A. (2017). 'A Fuzzy Goal Programming Model for Efficient Portfolio Selection.', Journal of Optimization in Industrial Engineering, 10(22), pp. 61-71. doi: 10.22094/joie.2017.277
Kazemi, A., Shakourloo, A., Alinezhad, A. A Fuzzy Goal Programming Model for Efficient Portfolio Selection.. Journal of Optimization in Industrial Engineering, 2017; 10(22): 61-71. doi: 10.22094/joie.2017.277

A Fuzzy Goal Programming Model for Efficient Portfolio Selection.

Article 20, Volume 10, Issue 22, Summer and Autumn 2017, Page 61-71  XML PDF (6.11 MB)
Document Type: Original Manuscript
DOI: 10.22094/joie.2017.277
Authors
Abolfazl Kazemi email 1; Ali Shakourloo1; Alireza Alinezhad2
1Assistant Professor, Faculty of Industrial and Mechanical Engineering, Qazvin Branch, Islamic Azad University, Qazvin, Iran
2Associate Professor, Faculty of Industrial and Mechanical Engineering, Qazvin Branch, Islamic Azad University, Qazvin, Iran
Abstract
This paper considers a multi-objective portfolio selection problem imposed by gaining of portfolio, divided yield and risk control in an ambiguous investment environment, in which the return and risk are characterized by probabilistic numbers. Based on the theory of possibility, a new multi-objective portfolio optimization model with gaining of portfolio, divided yield and risk control is proposed and then the proposed model is solved as a fuzzy goal programming model to fulfill aspiration level of each objective. Furthermore, numerical example of efficient portfolio selection is provided to illustrate that proposed model is versatile enough to be applicable to various unexpected conditions.
This paper considers a multi-objective portfolio selection problem imposed by gaining of portfolio, divided yield and risk control in an ambiguous investment environment, in which the return and risk are characterized by probabilistic numbers. Based on the theory of possibility, a new multi-objective portfolio optimization model with gaining of portfolio, divided yield and risk control is proposed and then the proposed model is solved as a fuzzy goal programming model to fulfill aspiration level of each objective. Furthermore, numerical example of efficient portfolio selection is provided to illustrate that proposed model is versatile enough to be applicable to various unexpected conditions.

Highlights
  • This manuscript considers gaining portfolio divided yield and risk control in an ambiguous investment environment
  • Based on the possibility theory a new multi-objective portfolio optimization model is developed
  • Numerical examples for an efficient portfolio selection is developed
Keywords
Multi-objective portfolio selection; Theory of possibility; Fuzzy goal programming model
Statistics
Article View: 1,356
PDF Download: 1,553