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A Possibilistic Programming Approach to Portfolio Optimization Problem Under Fuzzy Data

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

Part of the book series: Contributions to Economics ((CE))

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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.

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Authors and Affiliations

  1. School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran

    Pejman Peykani, Mohammad Namakshenas & Mojtaba Nouri

  2. Department of Mathematics, Faculty of Basic Sciences, Science and Research Branch, Islamic Azad University, Tehran, Iran

    Neda Kavand & Mohsen Rostamy-Malkhalifeh

Authors
  1. Pejman Peykani
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  2. Mohammad Namakshenas
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  3. Mojtaba Nouri
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  4. Neda Kavand
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  5. Mohsen Rostamy-Malkhalifeh
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Editors and Affiliations

  1. Faculty of Economics and Admin. Sciences, Trakya University, Edirne, Turkey

    M. Kenan Terzioğlu

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Peykani, P., Namakshenas, M., Nouri, M., Kavand, N., Rostamy-Malkhalifeh, M. (2022). A Possibilistic Programming Approach to Portfolio Optimization Problem Under Fuzzy Data. In: Terzioğlu, M.K. (eds) Advances in Econometrics, Operational Research, Data Science and Actuarial Studies. Contributions to Economics. Springer, Cham. https://doi.org/10.1007/978-3-030-85254-2_23

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