A fuzzy random multi-objective approach for portfolio selection
محورهای موضوعی : Mathematical Optimization
M.B Aryanezhad
1
(Professor, Dep. of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran)
H Malekly
2
(M.Sc., School of Industrial Engineering, Islamic Azad University, South Tehran branch, Tehran, Iran)
M Karimi-Nasab
3
(Ph.D. Student, Dep. of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran)
کلید واژه: Multi-objective, Fuzzy random programming, Nonlinear Programming, Portfolio Selection,
چکیده مقاله :
In this paper, the portfolio selection problem is considered, where fuzziness and randomness appear simultaneously in optimization process. Since return and dividend play an important role in such problems, a new model is developed in a mixed environment by incorporating fuzzy random variable as multi-objective nonlinear model. Then a novel interactive approach is proposed to determine the preferred solution. Finally a numerical example is presented to illustrate the proposed model.
