a fuzzy random multi-objective approach for portfolio selection
Authors
abstract
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 preferred solution. finally a numerical example is presented to illustrate the proposed model.
similar resources
A 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...
full textA Fuzzy Approach For Multi-Objective Supplier Selection
Assessment and selection of suppliers are two most important tasks in the purchasing part in supply chain management. Supplier selection can be considered to be a single or multi-objective problem. From another point of view, it can be a single or multi-sourcing problem. In this paper, an integrated AHP and Fuzzy TOPSIS model is proposed to solve the supplier selection problem. This model makes...
full textA NEW MULTI-OBJECTIVE OPTIMIZATION APPROACH FOR SUSTAINABLE PROJECT PORTFOLIO SELECTION: A REALWORLD APPLICATION UNDER INTERVAL-VALUED FUZZY ENVIRONMENT
Organizations need to evaluate project proposals and select the ones that are the most effective in reaching the strategic goals by considering sustainability issue. In order to enhance the effectiveness and the efficiency of project oriented organizations, in this paper a new multi-objective decision making (MODM) approach of sustainable project portfolio selection is proposed which applies in...
full textMulti-objective portfolio selection model with fuzzy random returns and a compromise approach-based genetic algorithm
This paper addresses the multi-objective portfolio selection model with fuzzy random returns for investors by studying three criteria: return, risk and liquidity. In addition, securities historical data, experts’ opinions and judgements and investors’ different attitudes are considered in the portfolio selection process, such that the investor’s individual preference is reflected by an optimist...
full texta new multi-objective optimization approach for sustainable project portfolio selection: a realworld application under interval-valued fuzzy environment
organizations need to evaluate project proposals and select the ones that are the most effective in reaching the strategic goals by considering sustainability issue. in order to enhance the effectiveness and the efficiency of project oriented organizations, in this paper a new multi-objective decision making (modm) approach of sustainable project portfolio selection is proposed which applies in...
full textdesigning a multi-objective stochastic programming model for portfolio selection
in traditional portfolio selection model coefficients often are certain and deterministic, but in real world these coefficients are probabilistic. so decision maker cannot estimate them exactly. financial optimization is one of the most attractive areas in decision under uncertainty. in the portfolio selection problem the decision maker considers simultaneously conflicting objectives such as ra...
full textMy Resources
Save resource for easier access later
Journal title:
journal of industrial engineering, internationalISSN 1735-5702
volume 7
issue 13 2011
Hosted on Doprax cloud platform doprax.com
copyright © 2015-2023