Uncertain Multi-Period Portfolio Management under Fuzzy Environment: An Alpha-Cut Method
Publish place: 2nd International Conference on Challenges and New Solutions in Industrial Engineering and Management and Accounting
Publish Year: 1400
Type: Conference paper
Language: English
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Document National Code:
CSIEM02_809
Index date: 17 July 2021
Uncertain Multi-Period Portfolio Management under Fuzzy Environment: An Alpha-Cut Method abstract
The goal of this research is to present an uncertain multi-period portfolio management (UMPPM) model in the context of fuzzy uncertainty. Accordingly, three objectives including terminal wealth, risk, and liquidity as well as realistic constraints such as budget constraint and cardinality constraint are considered in UMPPM model. It should be noted that the proposed UMPPM model is transformed to single objective model by applying goal programming (GP) method. Also, alpha-cut technique is used to deal with fuzzy data. Finally, the proposed fuzzy multi-period portfolio management approach is implemented in real-world case application from Tehran stock market. The experimental results show the applicability and efficacy of the proposed fuzzy terminal wealth-risk-liquidity model.
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Uncertain Multi-Period Portfolio Management under Fuzzy Environment: An Alpha-Cut Method authors
Pejman Peykani
School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran
Mojtaba Nouri
School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran
Hamed Farrokhi-Asl
School of Industrial Engineering, College of Engineering, University of Tehran, Tehran, Iran