Title: How to obtain a series of satisfying portfolios: a fuzzy portfolio management approach
Authors: Hossein Dastkhan; Hamid Reza Golmakani; Naser Shams Gharneh
Department of Industrial Engineering, Javad University College, Javad Ave, Atlasi Sq., Yazd, Iran
Department of Industrial Engineering, University of Tafresh, Tafresh, Iran
Department of Industrial Engineering, AmirKabir University of Technology (Tehran Polytechnic), Tehran, Iran
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.
Keywords: financial markets; fuzzy sets; heuristics; uncertainty modelling; portfolio selection; fuzzy portfolio management; fuzzy logic; stock markets; minimum transaction lots, fixed transaction costs; proportional transaction costs; cardinality constraint; holding constraint.
Int. J. of Industrial and Systems Engineering, 2013 Vol.14, No.3, pp.333 - 351
Available online: 02 Jun 2013