Pejman Peykani - School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran
Mohammad Namakshenas - School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran
Neda Kavand - Department of Mathematics, Faculty of Basic Sciences, Science and Research Branch, Islamic Azad University, Tehran, Iran
Mojtaba Nouri - School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran
Mohsen Rostamy-Malkhalifeh - Department of Mathematics, Faculty of Basic Sciences, Science and Research Branch, Islamic Azad University, Tehran, Iran

In this study, a new uncertain portfolio optimization model is proposed that is capable to be employed in the presence of fuzzy data and linguistic variables. It should be noted that mean (return), absolute deviation (non-systematic risk measure), and beta (systematic risk measure) as well as investment constraints are considered in the proposed fuzzy portfolio optimization (FPO) model. Also, to deal with uncertainty of financial data, the possibilistic programming (PP) and the chance-constrained programming (CCP) approaches are used. Finally, to show the efficacy and applicability of the proposed approach, the FPO model is applied in a realworld case study from Tehran stock market.

Fuzzy Portfolio Optimization; Possibilistic Programming; Chance-Constrained Programming; Stock Exchange.