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Credibility-Based Fuzzy Mathematical Programming Model For Portfolio Selection Under Uncertainty

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  • MUKESH KUMAR MEHLAWAT

    (Department of Operational Research, University of Delhi, Delhi –110007, India)

  • PANKAJ GUPTA

    (Department of Operational Research, University of Delhi, Delhi –110007, India)

Abstract

In this paper, we develop a hybrid bi-objective credibility-based fuzzy mathematical programming model for portfolio selection under fuzzy environment. To deal with imprecise parameters, we use a hybrid credibility-based approach that combines the expected value and chance constrained programming techniques. The model simultaneously maximizes the portfolio return and minimizes the portfolio risk. We also consider an additional important criterion, namely, portfolio liquidity as a constraint in the model to make it better suited for practical applications. The proposed fuzzy optimization model is solved using a two-phase approach. An empirical study is included to demonstrate applicability of the proposed model and the solution approach in real-world applications of portfolio selection.

Suggested Citation

  • Mukesh Kumar Mehlawat & Pankaj Gupta, 2014. "Credibility-Based Fuzzy Mathematical Programming Model For Portfolio Selection Under Uncertainty," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 13(01), pages 101-135.
    • Handle: RePEc:wsi:ijitdm:v:13:y:2014:i:01:n:s0219622014500059
    DOI: 10.1142/S0219622014500059
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    References listed on IDEAS

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    1. Srichander Ramaswamy, 1998. "Portfolio selection using fuzzy decision theory," BIS Working Papers 59, Bank for International Settlements.
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    Cited by:

    1. Fabio De Felice & Laura Petrillo & Luigi Ranieri & Antonella Petrillo, 2019. "Previous Studies and Differences Between Lean Management and World Class Manufacturing," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 18(06), pages 1941-1966, November.
    2. Yong-Jun Liu & Wei-Guo Zhang, 2018. "Multiperiod Fuzzy Portfolio Selection Optimization Model Based on Possibility Theory," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 17(03), pages 941-968, May.
    3. Xiaoxia Huang & Xuting Wang, 2019. "Portfolio Investment with Options Based on Uncertainty Theory," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 18(03), pages 929-952, May.

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