A Novel Selection Model of Optimal Portfolio based on Fuzzy Goal Planning, Considering Types of Investors

Authors

  • Hamed Omidi Department Management and Economics, Science and Research Branch, Tehran, Iran
  • Hashem Nikoomaram Department of Business Management, Faculty of Management and Economics, Science and Research Branch, Islamic Azad University, Tehran, Iran.
Abstract:

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 risk taking and risk aversion as a limitation, fuzzy goal models have beed used. And finally, it has been compared to the results of the Markowitz pricing model.

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Journal title

volume 5  issue 17

pages  133- 144

publication date 2020-05-01

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