Development of Fuzzy Random Optimization Model Mean-Developing a fuzzy random portfolio optimization model Considering Investor's Risk Attitude

Subject Areas : Financial engineering

Hosein Didehkhani ¹ , Ebrahim Abbasi ² , Amir Shiri Ghehi ³ , Mohammad Moshari ⁴

1 - Department of financial engineering, Aliabad katoul Branch, Islamic Azad University, Aliabad Katoul, Iran
2 - Department of Management, Alzahra University, Tehran, Iran
3 - Department of financial Management, Aliabad katoul Branch, Islamic Azad University, Aliabad katoul , Iran
4 - Department of financial Management, Aliabad katoul Branch, Islamic Azad University, Aliabad katoul , Iran

Received: 2018-11-13 Accepted : 2019-05-12 Published : 2019-09-23

Keywords: Risk, random fuzzy return, MAD model, portfolio optmization,

Abstract :

The purpose of this paper is to solve the stock selection problem for a portfolio with the least undesirable risk by solving the mathematical programming model in random fuzzy conditions. For considering the vague and uncertain environment of stock price rate of return, a mixed uncertainty procedure was applied. Also MAD was aaplied as the risk measure for optimizing the portfolio model. This research is based on the Mean-Absolute Deviation (MAD) model and assuming that the stock return is a fuzzy random variable, it considers the attitude of investors to risk in the form of risk-averse and risk-seeking investors and an efficient mathematical model for selecting Optimal portfolio are provided. Eventually, with the help of the genetic algorithm, an attempt was made to generate a quest for solving a given model. In the following, the Pareto optimal solutions are obtained according to the desired criteria, the optimal answer is obtained.