LINEAR PROGRAMMING FOR PORTFOLIO OPTIMIZATION WITH FUZZY RETURN RATES AND RISKS

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AMIRI MAGHSOUD; MAHBOOB GHODSI MAHSA

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2015 | Volume:6 | Issue:23 Page(s): 105-118

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Information Journal Paper

Title

LINEAR PROGRAMMING FOR PORTFOLIO OPTIMIZATION WITH FUZZY RETURN RATES AND RISKS

Author(s)

AMIRI MAGHSOUD | MAHBOOB GHODSI MAHSA | Issue Writer Certificate

Keywords

PORTFOLIO SELECTION PROBLEMQ2

FUZZY PROGRAMMINGQ2

LINEAR PROGRAMMING PROBLEMQ1

DOWNSIDE BETAQ2

Abstract

Portfolio selection is an important issue for researchers and practitioners. The portfolio must incorporate what the investor believes to be an acceptable balance between risk and reward. The classical Markowitz model uses the variance as the risk measure and is a quadratic programming problem, which is difficult to find the global optimal solution for those problems. Many attempts have been made to linearize the portfolio optimization problem. This paper presents a linear fuzzy portfolio selection model with fuzzy return rates and risks, where the objective is to minimize the downside risk constrained so that a given expected return should be achieved. Furthermore, the proposed approach is demonstrated and validated by a numerical example from real stocks dataset obtainable from Tehran stock exchange market.

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APA: Copy

AMIRI, MAGHSOUD, & MAHBOOB GHODSI, MAHSA. (2015). LINEAR PROGRAMMING FOR PORTFOLIO OPTIMIZATION WITH FUZZY RETURN RATES AND RISKS. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 6(23), 105-118. SID. https://sid.ir/paper/197613/en

Vancouver: Copy

AMIRI MAGHSOUD, MAHBOOB GHODSI MAHSA. LINEAR PROGRAMMING FOR PORTFOLIO OPTIMIZATION WITH FUZZY RETURN RATES AND RISKS. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2015;6(23):105-118. Available from: https://sid.ir/paper/197613/en

IEEE: Copy

MAGHSOUD AMIRI, and MAHSA MAHBOOB GHODSI, “LINEAR PROGRAMMING FOR PORTFOLIO OPTIMIZATION WITH FUZZY RETURN RATES AND RISKS,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 6, no. 23, pp. 105–118, 2015, [Online]. Available: https://sid.ir/paper/197613/en

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