Robust Fuzzy Multi Objective Optimization Model for Portfolio Selection
Author(s):
Abstract:
Investment portfolio selection as one of the most important issues raised in the area of financial engineering Mean-Variance model revolutionized portfolio selection problems. Although this model has unique theoretical properties, its weakness prevents the use of this model in practice. Recently many studies on improving the performance of the model have been done.
In this thesis, a multi-objective portfolio selection model is considered including the uncertainty data. In particular, the aim of this thesis presents a Robust - Fuzzy Multi-objective model for portfolio selection.
After presenting Multi- objective optimization approach, robust optimization approach and Fuzzy optimization approach, Fuzzy- Robust Multi-Objective model for portfolio selection is expressed. Finally, using real data to solve the proposed model
In this thesis, a multi-objective portfolio selection model is considered including the uncertainty data. In particular, the aim of this thesis presents a Robust - Fuzzy Multi-objective model for portfolio selection.
After presenting Multi- objective optimization approach, robust optimization approach and Fuzzy optimization approach, Fuzzy- Robust Multi-Objective model for portfolio selection is expressed. Finally, using real data to solve the proposed model
Keywords:
Language:
Persian
Published:
Journal of Decision Engineering, Volume:1 Issue: 1, 2015
Pages:
31 to 56
magiran.com/p1658238
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