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Provide a multi-purpose fuzzy model for stock portfolio optimization

Author

Listed:
  • Hadi Khajezadeh Dezfouli
  • Mehdi Khajezadeh Dezfoli

Abstract

Researchers in the field of portfolio optimization made efforts to decrease uncertainty in future returns. Any disturbance in the parameter values causes the solution to be non-optimal or impossible. This study designs a strong fuzzy-multipurpose model for stock portfolio optimization based on Tehran Stock Exchange market data. At the end of the paper, the created model is compared with the results of the multi-objective model. The results show that the fuzzy multi-objective optimization model has relative stability and model compared to the multi-purpose optimization model is strong.

Suggested Citation

  • Hadi Khajezadeh Dezfouli & Mehdi Khajezadeh Dezfoli, 2021. "Provide a multi-purpose fuzzy model for stock portfolio optimization," International Journal of Innovation in Engineering, International Scientific Network (ISNet), vol. 1(2), pages 24-39.
    • Handle: RePEc:bao:ijieis:v:1:y:2021:i:2:p:24-39:id:14
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    File URL: https://ijie.ir/index.php/ijie/article/view/14/44
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