Extension of Portfolio Selection Problem with Fuzzy Goal Programming: A Fuzzy Allocated Portfolio Approach
Publish Year: 1390
نوع سند: مقاله ژورنالی
زبان: English
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شناسه ملی سند علمی:
JR_JOIE-4-9_008
تاریخ نمایه سازی: 22 آبان 1397
Abstract:
Recently, the economic crisis has resulted in instability in stock exchange market and this has caused high volatilities in stock value of exchanged firms. Under these conditions, considering uncertainty for a favorite investment is more serious than before. Multi-objective Portfolio selection (Return, Liquidity, Risk and Initial cost of Investment objectives) using MINMAX fuzzy goal programming for a Fuzzy Allocated Portfolio is considered in this research and all the main sectors of investment are assumed under uncertainty. A numerical example on stock exchange is presented to demonstrate the validity and strengths of the proposed approach
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Authors
Alireza Alinezhad
Assistant Professor, Department of industrial &mechanical engineering, Qazvin Branch, Islamic Azad University, Qazvin, Iran
Majid Zohrehbandian
Assistant Professor, Department of Mathematics, Karaj Branch, Islamic Azad University, Karaj, Iran
Meghdad Kian
MSc, Department of industrial &mechanical engineering, Qazvin Branch, Islamic Azad University, Qazvin, Iran
Mostafa Ekhtiari
MSc, Department of industrial &mechanical engineering, Qazvin Branch, Islamic Azad University, Qazvin, Iran