Uncertain Multi-Period Portfolio Management under Fuzzy Environment: An Alpha-Cut Method

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.

Keywords:

Portfolio Management , Data Ambiguity , Fuzzy Mathematical Programming , Stock Market.