LINEAR PROGRAMMING FOR PORTFOLIO SELECTION BASED ON FUZZY DECISION-MAKING THEORY

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

AMIRHOSSEINI ZAHRA; GHOBADI MASOUMEH

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2015 | Volume:5 | Issue:21 Page(s): 1-12

Download Full-Text

Persian Verion

View:

2,203

Download:

Cites:

Information Journal Paper

Title

LINEAR PROGRAMMING FOR PORTFOLIO SELECTION BASED ON FUZZY DECISION-MAKING THEORY

Author(s)

AMIRHOSSEINI ZAHRA | GHOBADI MASOUMEH | Issue Writer Certificate

Keywords

PORTFOLIO SELECTIONQ2

FUZZY SETSQ2

TRANSACTION COSTQ2

LINEAR PROGRAMMINGQ2

OPTIMIZATIONQ2

Abstract

Markowitz’s mean-variance model of PORTFOLIO SELECTION is one the best known models in finance since 1950, which recognized to contribute in salient transformations. Financial theorists have had extremely efforts in making PORTFOLIO SELECTION models more applicable which have caused to drive them to the new models. In this paper, PORTFOLIO SELECTION in crisp and fuzzy cases is studied respectively, and corresponding model and algorithms in both cases are proposed; an effective way is given to transform and optimal problem with nonlinear objective function or non-linear constraint into a linear problem, which alleviate the computational difficulty greatly. In two models, the risk is taken as the sum of the absolute deviation of the risky assets instead of covariance, the TRANSACTION COST is taken as v-shaped function of the difference between the existing and new portfolio. Also, the investor’s subjective impact is reflected in the model of the fuzzy decision-making environment. In order to compare the two models, we have selected 13 top accepted firms in Tehran Securities Exchange among 50 firms as statistical sample in this research, which have been active between1382 to 1391. For achieving model’s portfolios, DEA SOLVER software was used. After determining portfolio and calculating the return and the risk of each of the models, the research hypothesis was tested by using SPSS software. The results show that between two models, the proposed model can generate a favorite portfolio strategy according to the investor’s satisfactory degree.

Cites

No record.

References

Cite

APA: Copy

AMIRHOSSEINI, ZAHRA, & GHOBADI, MASOUMEH. (2015). LINEAR PROGRAMMING FOR PORTFOLIO SELECTION BASED ON FUZZY DECISION-MAKING THEORY. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 5(21), 1-12. SID. https://sid.ir/paper/197687/en

Vancouver: Copy

AMIRHOSSEINI ZAHRA, GHOBADI MASOUMEH. LINEAR PROGRAMMING FOR PORTFOLIO SELECTION BASED ON FUZZY DECISION-MAKING THEORY. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2015;5(21):1-12. Available from: https://sid.ir/paper/197687/en

IEEE: Copy

ZAHRA AMIRHOSSEINI, and MASOUMEH GHOBADI, “LINEAR PROGRAMMING FOR PORTFOLIO SELECTION BASED ON FUZZY DECISION-MAKING THEORY,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 5, no. 21, pp. 1–12, 2015, [Online]. Available: https://sid.ir/paper/197687/en

Related Journal Papers