Multiobjective expected value model for portfolio selection in fuzzy environment

Multiobjective expected value model for portfolio selection in fuzzy environment

0.00 Avg rating0 Votes
Article ID: iaor2014276
Volume: 7
Issue: 8
Start Page Number: 1765
End Page Number: 1791
Publication Date: Dec 2013
Journal: Optimization Letters
Authors: , ,
Keywords: programming: goal
Abstract:

In this paper, we propose a credibilistic framework for portfolio selection problem using an expected value multiobjective model with fuzzy parameters. We consider short term return, long term return, risk and liquidity as key financial criteria. A solution procedure comprising fuzzy goal programming and fuzzy simulation based real‐coded genetic algorithm is developed to solve the model. The proposed solution approach is considered advantageous particularly for the cases where the fuzzy parameters of the problem may assume any general functional form. An empirical study is included to illustrate the usefulness of the proposed model and solution approach in real‐world applications of portfolio selection.

Reviews

Required fields are marked *. Your email address will not be published.