CREDIBILITY-BASED FUZZY MATHEMATICAL PROGRAMMING MODEL FOR PORTFOLIO SELECTION UNDER UNCERTAINTY

Mukesh Kumar Mehlawat () and Pankaj Gupta
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Mukesh Kumar Mehlawat: Department of Operational Research, University of Delhi, Delhi –110007, India
Pankaj Gupta: Department of Operational Research, University of Delhi, Delhi –110007, India

International Journal of Information Technology & Decision Making (IJITDM), 2014, vol. 13, issue 01, 101-135

Abstract: In this paper, we develop a hybrid bi-objective credibility-based fuzzy mathematical programming model for portfolio selection under fuzzy environment. To deal with imprecise parameters, we use a hybrid credibility-based approach that combines the expected value and chance constrained programming techniques. The model simultaneously maximizes the portfolio return and minimizes the portfolio risk. We also consider an additional important criterion, namely, portfolio liquidity as a constraint in the model to make it better suited for practical applications. The proposed fuzzy optimization model is solved using a two-phase approach. An empirical study is included to demonstrate applicability of the proposed model and the solution approach in real-world applications of portfolio selection.

Keywords: Fuzzy portfolio selection; fuzzy mathematical programming; credibility theory; uncertainty; multiple objective optimization (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (3)

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DOI: 10.1142/S0219622014500059

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