SELECTION OF OPTIMAL PORTFOLIO USING EXPERT SYSTEM IN MAMDANI FUZZY ENVIRONMENT

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KOUHBANANI NEJAD SEYEDEH FARNAZ; FARID DARUSH; SADEGHI HOJATALLAH

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Journal: JOURNAL OF INDUSTRIAL MANAGEMENT STUDIES Year:2018 | Volume:16 | Issue:48 Page(s): 131-151

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Title

SELECTION OF OPTIMAL PORTFOLIO USING EXPERT SYSTEM IN MAMDANI FUZZY ENVIRONMENT

Author(s)

KOUHBANANI NEJAD SEYEDEH FARNAZ | FARID DARUSH | SADEGHI HOJATALLAH | Issue Writer Certificate

Keywords

STOCK EVALUATIONQ1

OPTIMAL PORTFOLIOQ1

EXPERT SYSTEMQ2

PORTFOLIO MANAGEMENTQ2

FUZZY LOGICQ2

Abstract

Modifications are an integrated part of economic evolution in financial section which include reforming the capital market structure, innovating in tools and an environment with more comprehensive discipline. Two dominant schools of thought in the literature on stock markets are fundamental and technical analysis. Selection the portfolio would be so important. So we use both fundamental and technical analysis to evaluate companies' stock and then in order to form a portfolio which consider different risk states and investor’s preferences utilize Mamdani Fuzzy and mixed integer linear programming model. The reasons for the use Mamdani Fuzzy system are its capability of working in vague environment and using human knowledge and for mixed integer linear programming model is its capability in finding the optimum solution among the several available ones. The results of evaluating the performance of formed portfolio for three cases of Risk averse, Risk neutral and Risk prone investor show that the performance of proposed portfolio is positive and proper, but in a more accurate scale the formed portfolio has a more proper condition for the risk averse investor.

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APA: Copy

KOUHBANANI NEJAD, SEYEDEH FARNAZ, FARID, DARUSH, & SADEGHI, HOJATALLAH. (2018). SELECTION OF OPTIMAL PORTFOLIO USING EXPERT SYSTEM IN MAMDANI FUZZY ENVIRONMENT. JOURNAL OF INDUSTRIAL MANAGEMENT STUDIES, 16(48 ), 131-151. SID. https://sid.ir/paper/213166/en

Vancouver: Copy

KOUHBANANI NEJAD SEYEDEH FARNAZ, FARID DARUSH, SADEGHI HOJATALLAH. SELECTION OF OPTIMAL PORTFOLIO USING EXPERT SYSTEM IN MAMDANI FUZZY ENVIRONMENT. JOURNAL OF INDUSTRIAL MANAGEMENT STUDIES[Internet]. 2018;16(48 ):131-151. Available from: https://sid.ir/paper/213166/en

IEEE: Copy

SEYEDEH FARNAZ KOUHBANANI NEJAD, DARUSH FARID, and HOJATALLAH SADEGHI, “SELECTION OF OPTIMAL PORTFOLIO USING EXPERT SYSTEM IN MAMDANI FUZZY ENVIRONMENT,” JOURNAL OF INDUSTRIAL MANAGEMENT STUDIES, vol. 16, no. 48 , pp. 131–151, 2018, [Online]. Available: https://sid.ir/paper/213166/en

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