Using Fuzzy Mathematical Programming to Design Portfolio Optimization Model (Case Study: Melli Bank Investment Co.)
Subject Areas : Industrial ManagementFarhad Vafaei 1 , Sobhan Letafati 2 , Omid Ardalan 3
1 - Assistant Professor, University of Kurdistan
2 - M.A in Business Administration
3 - M.A in Executive Management
Keywords:
Abstract :
Optimization has always been considered as a major problem by the human being and it has made him go a way to get him the most benefit according to the available sources limitations. Also, it would help him through encountered decisions to benefit from the various sciences and technologies in this way. In this research, portfolio optimization problem, respecting its importance in securities market as the leading axis of country's financial system and its duty in allocating the optimal system and investors from one side and the demand for more return and less expected risk on the other side are investigated. Also, a model in fuzzy position was designed in the particular way which it brings on the least expected return for investors while minimizing the risk gets regarded. It also took the multi-objective decision-making methods. This paper, having done the modeling, aims at studying the portfolio of Melli bank Investment Corporation as a case study.
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_||_1- Azar, A., & Hojat, F. (2008). Fuzzy Management Science, Iran Management and Productivity Study Center, Tehran.
2- Jones, Charles, P. (2008). Investment Management, Tehrani, Reza & Asgar Norbakhsh, Published at school, Tehran.
3- Raie, R. & Talangy, A. (2004). Advanced Investment Management. Tehran: Samt Publications.
4- Ammar, K. (2003).Fuzzy portfolio optimization a quadratic programming approach. Chaos, Solitons and Fractals, 18, 1045–1054.
5- Klir, G., & Bo Y. (2008). Fuzzy sets and fuzzy logic, Eastern Economy Edition, New Dehli, 105.
6- Takashi, H., Hideki, K., H. (2008). Portfolio selection problems with random fuzzy variable returns. Fuzzy Sets and Systems.
7- Tiryaki, F & Mehmat, A.U. (2005). Fuzzy stock selection using a new fuzzy ranking and weighting algorithm. Journal of Computational and Applied Mathematics 17.
8- Xiaoxia, H. (2007). Mean-semi variance models for fuzzy portfolio selection. Journal of Computational and Applied Mathematics, 217.
