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How to obtain a series of satisfying portfolios: a fuzzy portfolio management approach

Author

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  • Hossein Dastkhan
  • Hamid Reza Golmakani
  • Naser Shams Gharneh

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.

Suggested Citation

  • Hossein Dastkhan & Hamid Reza Golmakani & Naser Shams Gharneh, 2013. "How to obtain a series of satisfying portfolios: a fuzzy portfolio management approach," International Journal of Industrial and Systems Engineering, Inderscience Enterprises Ltd, vol. 14(3), pages 333-351.
    • Handle: RePEc:ids:ijisen:v:14:y:2013:i:3:p:333-351
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    Cited by:

    1. Marcel-Ioan Boloș & Ioana-Alexandra Bradea & Camelia Delcea, 2021. "Optimization of Financial Asset Neutrosophic Portfolios," Mathematics, MDPI, vol. 9(11), pages 1-36, May.

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