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Provide a multi-purpose fuzzy model for stock portfolio optimization

Journal: International Journal of Innovation in Engineering (IJIE) (Vol.1, No. 2)

Publication Date:

Authors : ; ;

Page : 24-39

Keywords : Portfolio; multi-objective; Fuzzy robust; optimization;

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Researchers in the field of portfolio optimization made efforts to decrease uncertainty in future returns. Any disturbance in the parameter values causes the solution to be non-optimal or impossible. This study designs a strong fuzzy-multipurpose model for stock portfolio optimization based on Tehran Stock Exchange market data. At the end of the paper, the created model is compared with the results of the multi-objective model. The results show that the fuzzy multi-objective optimization model has relative stability and model compared to the multi-purpose optimization model is strong.

Last modified: 2021-10-18 00:10:47