Using Fuzzy Mathematical Programming to Design Portfolio Optimization Model (Case Study: Melli Bank Investment Co.)

Optimization has always been considered as a major problem by human being and it has made him to go for a way to get him the most benefit according to the available sources limitations. Also, it would help him through encountered decisions to benefit from the various sciences and technologies in this way. In this research, portfolio optimization problem, respecting its importance in securities market as the leading axis of country's financial system and its duty in allocating the optimal system and investors from one side and the demand for more return and less expected risk on the other side are investigated. Also, a model in fuzzy position was designed in the particular way which it brings on the least expected return for investors while minimizing the risk gets regarded. It also took the multi objective decision making methods. This paper, having done the modeling, aims at studying the portfolio of Melli bank Investment Corporation as a case study.