The problemof selection and the best option are themain subject of operation research science in decision-making theory. Selection is a process that scrutinizes and investigates several quantitative and qualitative, and most often incompatible, factors. One of the most fundamental management issues in multicriteria selection literature is the multicriteria adoption of the projects portfolio. In...

The selection of a portfolio encounters several extremely complex situations. From among them, it has to be highlighted, due to its difficulty and transcendence, the Financial Assets selection when interrelations (positive and/or negative) occur among the expected profitabilities of each one of them. To solve this Genetic Algorithms are used due to its utility when offering solutions to complex...

This paper presents a type-2 fuzzy rule based expert system to handle uncertainty in complex problems such as portfolio selection. In a type-2 fuzzy expert system both antecedent and consequent have type-2 membership function. This research uses indirect approach fuzzy modeling, where the rules are extracted automatically by implementing a clustering approach. For this purpose, a new cluster an...

Projects scheduling by the project portfolio selection, something that has its own complexity and its flexibility, can create different composition of the project portfolio. An integer programming model is formulated for the project portfolio selection and scheduling.Two heuristic algorithms, genetic algorithm (GA) and simulated annealing (SA), are presented to solve the problem. Results of cal...

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...

This paper considers robust mean-variance portfolio selection problems including uncertainty sets and fuzzy factors. Since these problems are not well-defined problems due to fuzzy factors, it is hard to solve them directly. Therefore, introducing chance constraints, fuzzy goals and possibility measures, the proposed models are transformed into the deterministic equivalent problems. Furthermore...

This paper considers robust mean-variance portfolio selection problems including uncertainty sets and fuzzy factors. Since these problems are not well-defined problems due to fuzzy factors, it is hard to solve them directly. Therefore, introducing chance constraints, fuzzy goals and possibility measures, the proposed models are transformed into the deterministic equivalent problems. Furthermore...

In this paper, the Kapur cross-entropy minimization model for portfolio selection problem is discussed under fuzzy environment, which minimizes the divergence of the fuzzy investment return from a priori one. First, three mathematical models are proposed by defining divergence as cross-entropy, average return as expected value and risk as variance, semivariance and chance of bad outcome, respec...

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...