Extension of Portfolio Selection Problem with Fuzzy Goal Programming: A Fuzzy Allocated Portfolio Approach
الموضوعات :
Alireza Alinezhad
1
(Assistant Professor, Department of industrial &mechanical engineering, Qazvin Branch, Islamic Azad University, Qazvin, Iran)
Majid Zohrehbandian
2
(Assistant Professor, Department of Mathematics, Karaj Branch, Islamic Azad University, Karaj, Iran)
Meghdad Kian
3
(MSc, Department of industrial &mechanical engineering, Qazvin Branch, Islamic Azad University, Qazvin, Iran)
Mostafa Ekhtiari
4
(MSc, Department of industrial &mechanical engineering, Qazvin Branch, Islamic Azad University, Qazvin, Iran)
Nima Esfandiari
5
(MSc, Department of industrial &mechanical engineering, Qazvin Branch, Islamic Azad University, Qazvin, Iran)
الکلمات المفتاحية: Fuzzy Goal Programming, Portfolio selection, Fuzzy Allocated Portfolio (FAP), MINMAX Approach,
ملخص المقالة :
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.
