How to obtain a series of satisfying portfolios: a fuzzy portfolio management approach

Hossein Dastkhan, Hamid Reza Golmakani and Naser Shams Gharneh

International Journal of Industrial and Systems Engineering, 2013, vol. 14, issue 3, 333-351

Abstract: Fuzzy mathematical programming is a powerful tool to analyse the uncertainty of financial markets. This paper deals with application of three different operators of fuzzy mathematical programming in a mean-absolute deviation portfolio selection problem with real features. These real features include minimum transaction lots, fixed and proportional transaction cost, cardinality constraint and bounds on holding constraint. Fuzzy mathematical programming prepares the decision-maker to obtain the solutions that satisfy his/her preferences. An empirical study is given to illustrate the effectiveness of the proposed models using real data from the New York stock exchange.

Keywords: financial markets; fuzzy sets; heuristics; uncertainty modelling; portfolio selection; fuzzy portfolio management; fuzzy logic; stock markets; minimum transaction lots, fixed transaction costs; proportional transaction costs; cardinality constraint; holding constraint. (search for similar items in EconPapers)
Date: 2013
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