Provide a multi-purpose fuzzy model for stock portfolio optimization
Publish Year: 1400
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:
JR_IJIEN-1-2_003
تاریخ نمایه سازی: 9 آبان 1401
Abstract:
Researchers in the field of portfolio optimization made efforts to decrease uncertainty in future returns. Any disturbance in the parameter values causes the solution to be non-optimal or impossible. This study designs a strong fuzzy-multipurpose model for stock portfolio optimization based on Tehran Stock Exchange market data. At the end of the paper, the created model is compared with the results of the multi-objective model. The results show that the fuzzy multi-objective optimization model has relative stability and model compared to the multi-purpose optimization model is strong.
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Authors
Hadi Khajezade Dezfouli
PhD, Department of financial management, Management Faculty, Allame Tabatabaee University, Iran
Mehdi Khajezade Dezfouli
PhD student, Department of Industrial Management, Management Faculty, University of Tehran, Tehran, Iran