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A Possibilistic Programming Approach to Portfolio Optimization Problem Under Fuzzy Data

In: Advances in Econometrics, Operational Research, Data Science and Actuarial Studies

Author

Listed:
  • Pejman Peykani

    (Iran University of Science and Technology)

  • Mohammad Namakshenas

    (Iran University of Science and Technology)

  • Mojtaba Nouri

    (Iran University of Science and Technology)

  • Neda Kavand

    (Islamic Azad University)

  • Mohsen Rostamy-Malkhalifeh

    (Islamic Azad University)

Abstract

Investment portfolio optimization problem is an important issue and challenge in the investment field. The goal of portfolio optimization problem is to create an efficient portfolio that incurs the minimum risk to the investor across different return levels. It should be noted that in many real cases, financial data are tainted by uncertainty and ambiguity. Accordingly, in this study, the fuzzy portfolio optimization model using possibilistic programming is presented that is capable to be used in the presence of fuzzy data and linguistic variables. Three objectives including the return, the systematic risk, and the non-systematic risk are considered to propose the fuzzy portfolio optimization model. Finally, the possibilistic portfolio optimization model is implemented in a real case study from the Tehran stock exchange to show the efficacy and applicability of the proposed approach.

Suggested Citation

  • Pejman Peykani & Mohammad Namakshenas & Mojtaba Nouri & Neda Kavand & Mohsen Rostamy-Malkhalifeh, 2022. "A Possibilistic Programming Approach to Portfolio Optimization Problem Under Fuzzy Data," Contributions to Economics, in: M. Kenan Terzioğlu (ed.), Advances in Econometrics, Operational Research, Data Science and Actuarial Studies, pages 377-387, Springer.
    • Handle: RePEc:spr:conchp:978-3-030-85254-2_23
    DOI: 10.1007/978-3-030-85254-2_23
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    Cited by:

    1. Pejman Peykani & Mostafa Sargolzaei & Mohammad Hashem Botshekan & Camelia Oprean-Stan & Amir Takaloo, 2023. "Optimization of Asset and Liability Management of Banks with Minimum Possible Changes," Mathematics, MDPI, vol. 11(12), pages 1-24, June.

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