OPTIMIZING A FLEXIBLE CONSTRAINED PORTFOLIO IN STOCK EXCHANGE WITH FUZZY PROGRAMMING

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KHANJARPANAH H.; PISHVAEE M.S.; JABBARZADEH A.

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Paper Information

Journal: Journal of Operational Research in its Applications Year:2017 | Volume:13 | Issue:4 (51) Page(s): 39-54

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Title

OPTIMIZING A FLEXIBLE CONSTRAINED PORTFOLIO IN STOCK EXCHANGE WITH FUZZY PROGRAMMING

Author(s)

KHANJARPANAH H. | PISHVAEE M.S. | JABBARZADEH A. | Issue Writer Certificate

Keywords

PORTFOLIO OPTIMIZATIONQ2

FUZZY PROGRAMMINGQ1

TEHRAN STOCK EXCHANGEQ2

GOAL PROGRAMMINGQ2

Abstract

Portfolio selection always has been one of the interesting subjects in financial problems and markets. In this paper, a novel logical and useful model for optimizing portfolio is proposed that this model have some constraints such as flexibility in stock's weight that don't determinate a fixed and solid bounds for stock's weights in PORTFOLIO OPTIMIZATION problem and also, cardinality constraint is applied for portfolio problem. Then FUZZY PROGRAMMING applied to handle uncertainty of stock returns and with flexible and possibilistic programming, that both of these methods are categories of FUZZY PROGRAMMING, proposed model converts to a crisp one. The proposed model for evaluating, performance testing and logicality approved, is applied to some monthly return of companies stock of TEHRAN STOCK EXCHANGE and the results is reported. The results showed that in lower values of confidence level in proposed portfolio problem, it's possible to obtain a higher profit with low risk.

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APA: Copy

KHANJARPANAH, H., PISHVAEE, M.S., & JABBARZADEH, A.. (2017). OPTIMIZING A FLEXIBLE CONSTRAINED PORTFOLIO IN STOCK EXCHANGE WITH FUZZY PROGRAMMING. JOURNAL OF OPERATIONAL RESEARCH AND ITS APPLICATIONS (JOURNAL OF APPLIED MATHEMATICS), 13(4 (51)), 39-54. SID. https://sid.ir/paper/164666/en

Vancouver: Copy

KHANJARPANAH H., PISHVAEE M.S., JABBARZADEH A.. OPTIMIZING A FLEXIBLE CONSTRAINED PORTFOLIO IN STOCK EXCHANGE WITH FUZZY PROGRAMMING. JOURNAL OF OPERATIONAL RESEARCH AND ITS APPLICATIONS (JOURNAL OF APPLIED MATHEMATICS)[Internet]. 2017;13(4 (51)):39-54. Available from: https://sid.ir/paper/164666/en

IEEE: Copy

H. KHANJARPANAH, M.S. PISHVAEE, and A. JABBARZADEH, “OPTIMIZING A FLEXIBLE CONSTRAINED PORTFOLIO IN STOCK EXCHANGE WITH FUZZY PROGRAMMING,” JOURNAL OF OPERATIONAL RESEARCH AND ITS APPLICATIONS (JOURNAL OF APPLIED MATHEMATICS), vol. 13, no. 4 (51), pp. 39–54, 2017, [Online]. Available: https://sid.ir/paper/164666/en

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