Provide a multi-purpose fuzzy model for stock portfolio optimization

Hadi Khajezadeh Dezfouli () and Mehdi Khajezadeh Dezfoli ()

International Journal of Innovation in Engineering, 2021, vol. 1, issue 2, 24-39

Abstract: 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.

Keywords: Portfolio; multi-objective; Fuzzy robust; optimization (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:bao:ijieis:v:1:y:2021:i:2:p:24-39:id:14

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