EVOLUTIONARY 4-OBJECTIVE OPTIMIZATION PORTFOLIO ALGORITHMS FOR FUZZY AND NON-FUZZY SELECTION

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SALIMI MOHAMMAD JAVAD; TAQHAVI FARD MOHAMMAD TAGHI; FALLAHSHAMS MIRFEIZB; KHAJEZADEH DEZFULI HADI

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Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2018 | Volume:9 | Issue:36 Page(s): 1-16

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Title

EVOLUTIONARY 4-OBJECTIVE OPTIMIZATION PORTFOLIO ALGORITHMS FOR FUZZY AND NON-FUZZY SELECTION

Author(s)

SALIMI MOHAMMAD JAVAD | TAQHAVI FARD MOHAMMAD TAGHI | FALLAHSHAMS MIRFEIZB | KHAJEZADEH DEZFULI HADI | Issue Writer Certificate

Keywords

MODERN PORTFOLIO THEORYQ1

POST MODERN PORTFOLIO THEORYQ2

FINANCIAL MODELINGQ1

OPTIMIZE PORTFOLIO SELECTIONQ1

EVOLUTIONARY MULTI-OBJECTIVE ALGORITHMQ1

FUZZY LOGICQ2

Abstract

In choosing the optimal portfolio, we must consider various criteria, some of which are determined by the nature of the optimization and some are determined by the investor's desire. Therefore, in this paper, multi-objective optimization models are designed and solved in MATLAB software environment. These models are designed in such a way that both the nature of the portfolio optimization, the considerations of the investor and the uncertain nature of the future return on assets, are taken into account. After designing the models in fuzzy and non-fuzzy (simple) conditions, due to their NP-HARD nature, a dedicated NSGA-II algorithm was used to solve it. After solving the models, the best portfolio from attained Pareto frontier, based on the Sortino ratio, be chosen. After that all of the obtained portfolios are compared according to the Treyner ratio. The results of statistical tests clearly show that the proposed models have a high power in choosing portfolios with maximum returns and a minimum risk. The results also indicate that that the designed models, with use of FUZZY LOGIC in quadratic models creates more favorable results than simple models without using possibility theory and FUZZY LOGIC.

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APA: Copy

SALIMI, MOHAMMAD JAVAD, TAQHAVI FARD, MOHAMMAD TAGHI, FALLAHSHAMS, MIRFEIZB, & KHAJEZADEH DEZFULI, HADI. (2018). EVOLUTIONARY 4-OBJECTIVE OPTIMIZATION PORTFOLIO ALGORITHMS FOR FUZZY AND NON-FUZZY SELECTION. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 9(36 ), 1-16. SID. https://sid.ir/paper/197527/en

Vancouver: Copy

SALIMI MOHAMMAD JAVAD, TAQHAVI FARD MOHAMMAD TAGHI, FALLAHSHAMS MIRFEIZB, KHAJEZADEH DEZFULI HADI. EVOLUTIONARY 4-OBJECTIVE OPTIMIZATION PORTFOLIO ALGORITHMS FOR FUZZY AND NON-FUZZY SELECTION. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2018;9(36 ):1-16. Available from: https://sid.ir/paper/197527/en

IEEE: Copy

MOHAMMAD JAVAD SALIMI, MOHAMMAD TAGHI TAQHAVI FARD, MIRFEIZB FALLAHSHAMS, and HADI KHAJEZADEH DEZFULI, “EVOLUTIONARY 4-OBJECTIVE OPTIMIZATION PORTFOLIO ALGORITHMS FOR FUZZY AND NON-FUZZY SELECTION,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 9, no. 36 , pp. 1–16, 2018, [Online]. Available: https://sid.ir/paper/197527/en

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