Presenting a fuzzy multi objective model for portfolio selection based on value at risk, semi-skewness and fuzzy credibility theory

Subject Areas : Financial engineering

Hosein Didehkhani ¹ , Saeid Hojjatiastani ²

1 - Department of Financial Engineering, Islamic Azad University, Aliabad Katoul, Iran
2 - Master of Financial Engineering, Islamic Azad University, Ali-Abad Katoul Branch

Received: 2017-03-11 Accepted : 2017-05-16 Published : 2016-09-22

Keywords: NSGA-II algorithm, uncertainty, Multi-objective portfolio optimization, credit theory,

Abstract :

In finance, optimal portfolio selection, play's a crucial role for investor’s decisions. In practical cases the problem of optimal portfolio selection has some challenges. In a cases stocks are affected by various uncertain factors therefore, it is impossible to simulate all of them properly. In this study, previous investigation about select and optimization of portfolio has been illustrated. For this purpose, credibility theory for calculating statistics moments such as Expected value, semi-skewness have been used. Also, the value at risk and Uncertainty is used for modeling in fuzzy Environment. For solving the model Matlab software run for solving Non-dominated sorting genetic algorithm "NSGA-II". And as result some of optimal pareto-front solutions have been obtained which were listed as optimal solution. To conclude Random portfolios has been created in order to compare with defined portfolios .the result indicate , defined models has more level of Satisfactory goals rather than Random portfolios.