A COMPARISON OF PORTFOLIO SELECTION MODELS BASED ON THE RANDOM AND THE FUZZY RANDOM SECURITY RETURNS IN TEHRAN STOCK EXCHANGE

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YAHYAZADEHFAR M.; SAFAIE GHADIKOLAIE A.; KHAKPOUR M.

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Journal: Journal of Accounting Advances Year:2011 | Volume:3 | Issue:1 (60/3) Page(s): 23-196

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Title

A COMPARISON OF PORTFOLIO SELECTION MODELS BASED ON THE RANDOM AND THE FUZZY RANDOM SECURITY RETURNS IN TEHRAN STOCK EXCHANGE

Author(s)

YAHYAZADEHFAR M. | SAFAIE GHADIKOLAIE A. | KHAKPOUR M. | Issue Writer Certificate

Keywords

FUZZY SET THEORYQ3

FUZZY RANDOM VARIABLEQ3

SUBJECTIVE DEGREE OF INVESTOR’S OPTIMISM PESSIMISMQ3

Abstract

Introduction: One of the basic problems of applied finance is the optimal selection of stocks by conflicting objective of maximizing future return and minimizing investment risk. The first systematic treatment of this dilemma is the mean variance approach proposed by Markowitz. Markowitz combined the optimization and probability theory to solve the dilemma. In Markowitz’s mean variance model, the security returns are assumed to be random variables, and the investors are postulated to establish equilibrium between the conflicted objectives, which the investment risk and return are respectively quantified by mean and variance of portfolio of security ....

Cites

HIGHER MOMENT PORTFOLIO OPTIMIZATION UNDER FUZZY ENVIRONMENT

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APA: Copy

YAHYAZADEHFAR, M., SAFAIE GHADIKOLAIE, A., & KHAKPOUR, M.. (2011). A COMPARISON OF PORTFOLIO SELECTION MODELS BASED ON THE RANDOM AND THE FUZZY RANDOM SECURITY RETURNS IN TEHRAN STOCK EXCHANGE. JOURNAL OF ACCOUNTING ADVANCES (JAA) (JOURNAL OF SOCIAL SCIENCES AND HUMANITIES), 3(1 (60/3)), 23-196. SID. https://sid.ir/paper/364701/en

Vancouver: Copy

YAHYAZADEHFAR M., SAFAIE GHADIKOLAIE A., KHAKPOUR M.. A COMPARISON OF PORTFOLIO SELECTION MODELS BASED ON THE RANDOM AND THE FUZZY RANDOM SECURITY RETURNS IN TEHRAN STOCK EXCHANGE. JOURNAL OF ACCOUNTING ADVANCES (JAA) (JOURNAL OF SOCIAL SCIENCES AND HUMANITIES)[Internet]. 2011;3(1 (60/3)):23-196. Available from: https://sid.ir/paper/364701/en

IEEE: Copy

M. YAHYAZADEHFAR, A. SAFAIE GHADIKOLAIE, and M. KHAKPOUR, “A COMPARISON OF PORTFOLIO SELECTION MODELS BASED ON THE RANDOM AND THE FUZZY RANDOM SECURITY RETURNS IN TEHRAN STOCK EXCHANGE,” JOURNAL OF ACCOUNTING ADVANCES (JAA) (JOURNAL OF SOCIAL SCIENCES AND HUMANITIES), vol. 3, no. 1 (60/3), pp. 23–196, 2011, [Online]. Available: https://sid.ir/paper/364701/en

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