A novel mathematical approach for fuzzy multi-period multi-objective portfolio optimization problem under uncertain environment and practical constraints
- سال انتشار: 1400
- محل انتشار: نشریه گسترش مجموعه فازی و کاربردهای آن، دوره: 2، شماره: 3
- کد COI اختصاصی: JR_JFEA-2-3_001
- زبان مقاله: انگلیسی
- تعداد مشاهده: 440
نویسندگان
School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran.
School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran.
Department of Mathematics, Science and Research Branch, Islamic Azad University, Tehran, Iran.
Department of Industrial and Manufacturing Engineering, University of Wisconsin-Milwaukee, Milwaukee, USA.
Sheldon B. Lubar School of Business, University of Wisconsin-Milwaukee, Milwaukee, Wisconsin, USA.
چکیده
Investment Portfolio Optimization (IPO) is one of the most important problems in the financial area. Also, one of the most important features of financial markets is their embedded uncertainty. Thus, it is essential to propose a novel IPO model that can be employed in the presence of uncertain data. Accordingly, the main goal of this paper is to propose a novel Fuzzy Multi-Period Multi-Objective Portfolio Optimization (FMPMOPO) model that is capable to be used under data ambiguity and practical constraints including budget constraint, cardinality constraint, and bound constraint. It should be noted that three objectives including terminal wealth, risk, and liquidity as well as practical constraints are considered in proposed FMPMOPO model. Also, the alpha-cut method is employed to deal with fuzzy data. Finally, the proposed Fuzzy Multi-Period Wealth-Risk-Liquidity (FMPWRL) model is implemented in real-world case study from Tehran Stock Exchange (TSE). The experimental results show the applicability and efficacy of the proposed FMPWRL model for fuzzy multi-period multi-objective investment portfolio optimization problem under fuzzy environment.کلیدواژه ها
portfolio optimization, Multi-Period Problem, fuzzy optimization, Alpha-Cut Method, Data Ambiguity, Investment problem, Stock marketاطلاعات بیشتر در مورد COI
COI مخفف عبارت CIVILICA Object Identifier به معنی شناسه سیویلیکا برای اسناد است. COI کدی است که مطابق محل انتشار، به مقالات کنفرانسها و ژورنالهای داخل کشور به هنگام نمایه سازی بر روی پایگاه استنادی سیویلیکا اختصاص می یابد.
کد COI به مفهوم کد ملی اسناد نمایه شده در سیویلیکا است و کدی یکتا و ثابت است و به همین دلیل همواره قابلیت استناد و پیگیری دارد.