How to obtain a series of satisfying portfolios: a fuzzy portfolio management approach
by Hossein Dastkhan; Hamid Reza Golmakani; Naser Shams Gharneh
International Journal of Industrial and Systems Engineering (IJISE), Vol. 14, No. 3, 2013

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.

Online publication date: Fri, 27-Dec-2013

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