A fuzzy goal programming approach to portfolio selection
نویسندگان
چکیده
Portfolio selection is a usual multiobjective problem. This paper will try to deal with the optimum portfolio for a private investor, taking into account three criteria: return, risk and liquidity. These objectives, in general, are not crisp from the point of view of the investor, so we will deal with them in fuzzy terms. The problem formulation is a goal programming (G.P.) one, where the goals and the constraints are fuzzy. We will apply a fuzzy G.P. approach to the above problem to obtain a solution. Then, we will oer the investor help in handling the results.
منابع مشابه
Extension of Portfolio Selection Problem with Fuzzy Goal Programming: A Fuzzy Allocated Portfolio Approach
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 programmin...
متن کاملA Fuzzy Goal Programming Model for Efficient Portfolio Selection.
This paper considers a multi-objective portfolio selection problem imposed by gaining of portfolio, divided yield and risk control in an ambiguous investment environment, in which the return and risk are characterized by probabilistic numbers. Based on the theory of possibility, a new multi-objective portfolio optimization model with gaining of portfolio, divided yield and risk control is propo...
متن کاملA Novel Selection Model of Optimal Portfolio based on Fuzzy Goal Planning, Considering Types of Investors
Assessing risk assets is one of the most important research issues in the financial field. There are various pricing models of capital assets in financial. In many models, it is not possible to consider a lot of restrictions on portfolio selection. In this paper, for choosing optimal portfolios, taking into account the prosperity and recession periods, and the types of investors in terms of ris...
متن کاملA fuzzy random multi-objective approach for portfolio selection
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 pref...
متن کاملLexicographic goal programming approach for portfolio optimization
This paper will investigate the optimum portfolio for an investor, taking into account 5 criteria. The mean variance model of portfolio optimization that was introduced by Markowitz includes two objective functions; these two criteria, risk and return do not encompass all of the information about investment; information like annual dividends, S&P star ranking and return in later years which is ...
متن کاملA two-stage robust model for portfolio selection by using goal programming
In portfolio selection models, uncertainty plays an important role. The parameter’s uncertainty leads to getting away from optimal solution so it is needed to consider that in models. In this paper we presented a two-stage robust model that in first stage determines the desired percentage of investment in each industrial group by using return and risk measures from different industries. One rea...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید
ثبت ناماگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید
ورودعنوان ژورنال:
- European Journal of Operational Research
دوره 133 شماره
صفحات -
تاریخ انتشار 2001