Extension of Portfolio Selection Problem with Fuzzy Goal Programming: A Fuzzy Allocated Portfolio Approach
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Abstract:
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 programming for a Fuzzy Allocated Portfolio is considered in this research and all the main sectors of investment are assumed under uncertainty. A numerical example on stock exchange is presented to demonstrate the validity and strengths of the proposed approach.
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Journal title
volume Volume 4 issue 9
pages 69- 76
publication date 2011-09-29
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