A Possibilistic Programming Approach to Portfolio Optimization Problem Under Fuzzy Data

Pejman Peykani (), Mohammad Namakshenas (), Mojtaba Nouri (), Neda Kavand () and Mohsen Rostamy-Malkhalifeh ()
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Pejman Peykani: Iran University of Science and Technology
Mohammad Namakshenas: Iran University of Science and Technology
Mojtaba Nouri: Iran University of Science and Technology
Neda Kavand: Islamic Azad University
Mohsen Rostamy-Malkhalifeh: Islamic Azad University

A chapter in Advances in Econometrics, Operational Research, Data Science and Actuarial Studies, 2022, pp 377-387 from Springer

Abstract: Abstract Investment portfolio optimization problem is an important issue and challenge in the investment field. The goal of portfolio optimization problem is to create an efficient portfolio that incurs the minimum risk to the investor across different return levels. It should be noted that in many real cases, financial data are tainted by uncertainty and ambiguity. Accordingly, in this study, the fuzzy portfolio optimization model using possibilistic programming is presented that is capable to be used in the presence of fuzzy data and linguistic variables. Three objectives including the return, the systematic risk, and the non-systematic risk are considered to propose the fuzzy portfolio optimization model. Finally, the possibilistic portfolio optimization model is implemented in a real case study from the Tehran stock exchange to show the efficacy and applicability of the proposed approach.

Keywords: Portfolio optimization problem; Fuzzy optimization; Stock return; Systematic risk; Non-Systematic risk; Possibilistic programming (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:conchp:978-3-030-85254-2_23

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DOI: 10.1007/978-3-030-85254-2_23

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