A fuzzy random multi-objective approach for portfolio selection

Subject Areas : Mathematical Optimization

M.B Aryanezhad ¹ , H Malekly ² , M Karimi-Nasab ³

1 - Professor, Dep. of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran
2 - M.Sc., School of Industrial Engineering, Islamic Azad University, South Tehran branch, Tehran, Iran
3 - Ph.D. Student, Dep. of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran

Received: 2015-05-18 Accepted : 2015-05-18 Published : 2011-03-01

Keywords: Multi-objective, Fuzzy random programming, Nonlinear Programming, Portfolio Selection,

Abstract :

In this paper, the portfolio selection problem is considered, where fuzziness and randomness appear simultaneously in optimization process. Since return and dividend play an important role in such problems, a new model is developed in a mixed environment by incorporating fuzzy random variable as multi-objective nonlinear model. Then a novel interactive approach is proposed to determine the preferred solution. Finally a numerical example is presented to illustrate the proposed model.