A Novel Selection Model of Optimal Portfolio based on Fuzzy Goal Planning, Considering Types of Investors

Publish Year: 1399
نوع سند: مقاله ژورنالی
زبان: English
View: 230

This Paper With 12 Page And PDF Format Ready To Download

  • Certificate
  • من نویسنده این مقاله هستم

استخراج به نرم افزارهای پژوهشی:

لینک ثابت به این Paper:

شناسه ملی سند علمی:

JR_IJFMA-5-17_011

تاریخ نمایه سازی: 13 آذر 1400

Abstract:

Assessing risk assets is one of the most important research issues in the financial field. There are various pricing models of capital assets in financial. In many models, it is not possible to consider a lot of restrictions on portfolio selection. In this paper, for choosing optimal portfolios, taking into account the prosperity and recession periods, and the types of investors in terms of risk taking and risk aversion as a limitation, fuzzy goal models have beed used. And finally, it has been compared to the results of the Markowitz pricing model.

Keywords:

Multiple objective programming , Fuzzy Goal programming , Portfolio selection model , Risk preferences of investors , Capital Asset Pricing Model

Authors

Hamed Omidi

Department Management and Economics, Science and Research Branch, Tehran, Iran

Hashem Nikoomaram

Department of Business Management, Faculty of Management and Economics, Science and Research Branch, Islamic Azad University, Tehran, Iran.

Fereydon Rahnamay Roodposhti

Department of Financial Management, Science and Research Branch, Islamic Azad University, Tehran, Iran

Hamidreza Vakilifard

Department Management and Economics, Science and Research Branch, Tehran, Iran