A Hierarchical Fuzzy Portfolio Selection Process Considering Transaction Costs with a Hybrid Intelligent Algorithm

Masoud Rabbani and Seyyed Mostafa Bahadornia
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Masoud Rabbani: Department of Industrial Engineering, College of Engineering, University of Tehran, Tehran, Iran
Seyyed Mostafa Bahadornia: Department of Industrial Engineering, College of Engineering, University of Tehran, Tehran, Iran

International Journal of Strategic Decision Sciences (IJSDS), 2013, vol. 4, issue 3, 90-108

Abstract: This article presents a hierarchical process for multiobjective portfolio selection in fuzzy environment. Methodology proposed in this paper is consist of three main steps; (a) determining weight of each objective including return, risk and liquidity, by fuzzy logarithmic least square according to investors' preferences matrix by the means of DE algorithm, (b&c) assigning pareto frontiers of problem and computing portion of each security by multiobjective mathematical programming in accordance to obtained weights by the means of GA. Also transaction cost related to each security which are rarely considered in previous works are brought in the authors’ model.

Date: 2013
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