A Fuzzy Expert System for Safe-Haven Asset Evaluation in Iran

Identifying safe-haven assets is an important issue for investors, especially in markets exposed to inflation, exchange-rate instability, and financial uncertainty. In developed financial markets, some assets such as government bonds, gold, and major currencies are commonly treated as safe-haven candidates. However, in Iran, the safe-haven role of assets is not clearly predefined and cannot be directly inferred from the experience of advanced markets. Most previous studies have examined a limited number of well-known assets using econometric models and historical market data. In contrast, this study follows an expert-based approach and uses the judgment of financial experts as the main basis for evaluating asset safety. This is an important advantage because, in markets with structural uncertainty and incomplete data, expert knowledge can capture practical market conditions that may not be fully reflected in quantitative data alone. To address this issue, the study develops a Mamdani fuzzy inference system to identify and rank safe-haven assets in the Iranian financial market. The proposed framework evaluates assets based on two key criteria: liquidity and risk-hedging ability. Expert judgments are translated into fuzzy rules, and the final safe-haven score is obtained through defuzzification. Six assets are examined: the U.S. dollar exchange rate, gold coin, gold funds, fixed-income investment funds, equity and mixed investment funds, and Sukuk bonds. The results show that the U.S. dollar receives the highest safe-haven score, followed by gold coin and gold funds. Fixed-income investment funds show moderate safe-haven potential, while equity and mixed funds and Sukuk bonds obtain the lowest scores. Overall, the findings show that safe-haven potential in Iran should be evaluated as a gradual, expert-informed, and nonlinear concept based on the joint effect of liquidity and risk-hedging ability.

کلیدواژه ها:

Safe-Haven Assets ، Fuzzy Inference System ، Expert Judgment ، Liquidity ، Risk-Hedging Ability