Provide a multi-purpose fuzzy model for stock portfolio optimization
عنوان مقاله: Provide a multi-purpose fuzzy model for stock portfolio optimization
شناسه ملی مقاله: JR_IJIEN-1-2_003
منتشر شده در در سال 1400
شناسه ملی مقاله: JR_IJIEN-1-2_003
منتشر شده در در سال 1400
مشخصات نویسندگان مقاله:
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
خلاصه مقاله:
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
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.
کلمات کلیدی: Portfolio, multi-objective, Fuzzy robust, optimization
صفحه اختصاصی مقاله و دریافت فایل کامل: https://civilica.com/doc/1546290/