A Fuzzy Mixed Integer Multi-Scenario Portfolio Optimization Model
In this paper, we propose a multiple objective optimization model with respect to portfolio selection problem for investors looking forward to diversify their equity investments in a number of equity markets. Based on Markowitz-s M-V model we developed a Fuzzy Mixed Integer Multi-Objective Nonlinear Programming Problem (FMIMONLP) to maximize the investors- future gains on equity markets, reach the optimal proportion of the budget to be invested in different equities. A numerical example with a comprehensive analysis on artificial data from several equity markets is presented in order to illustrate the proposed model and its solution method. The model performed well compared with the deterministic version of the model.
Digital Object Identifier (DOI): doi.org/10.5281/zenodo.1055224Procedia APA BibTeX Chicago EndNote Harvard JSON MLA RIS XML ISO 690 PDF Downloads 1551
 Markowitz H. (1952) Portfolio Selection. Journal of Finance, 7: 77-91.
 Zhou H T, Wang Z J, Song H G. A multi-objective portfolio selection model based on fuzzy optimization, Journal of Huazhong University of Science and Technology (Natural Science), 2005, 33(1): 108-110.
 Zhuang X T, Huang X Y, Lu X. (2001), Fuzzy optimization of securities combination, Journal of Northeastern University ( Natural Science), 22(2): 165-168.
 Zhang W. G. Possibilistic mean-standard deviation models to portfolio for bounded assets, Applied Mathematics and Computation, 2007, 189: 1614-1623.
 Lacagnina V, Pecorella A. A stochastic soft constraints fuzzy model for a portfolio selection problem, Fuzzy Sets and Systems, 2006, 157: 1317- 1327.
 Fang, F.H., Y., K., Liu, (2008), Mean Variance Models for portfolio selection with Fuzzy Random Returns, Journal of Applied Mathematics and Computations, DOI 10. 2007/s12190-008-0154-0.
 G. Zhang, Jie Lu, and F. Wu (2007), "On a generalized fuzzy goal optimization for solving fuzzy multi-objective linear programming problems", Journal of Intelligent & Fuzzy Systems 18, 83-97 IOS Press.
 Chen G., Chen S., Fang Y., Wang S,Y., Model for portfolio selection with fuzzy return rates, Systems Engineering | Theory & Practice, July, (2009), Vol.29, No.7, 1000-6788(2009)07-0008-08.
 Chen, G., Chen S., Fang Y., Wang S,Y., (2006) "A Possibilistic Mean- VaR Model for Portfolio Selection Advanced Modeling and Optimization", Vol. 8, No.1.
 Jun L., Jiuping, X. , A class of Possibilistic Portfolio Selection Model with Interval Coefficients and its Application, Fuzzy Optimization and Decision Making, Vol. 6, No. 2, June 2007 , pp. 123-137(15).
 SUPIAN S., (2007), On the Possibilistic Approach to a Portfolio Selection Problem, Math. Reports 9(59), 3, 305-317.
 Guo, P and Tanaka, H., (2003), 'Portfolio selection with exponential possibility distributions, "Fuzzy Portfolio Optimization", Lecture notes in economics and mathematical systems LNEMS 609, Springer, 10, 117- 129.
 Ana F. Carazo. Trinidad Gomez, Julian Molina, Alfredo G. Hernandez- Dial, Flor M. Guerrero, Rafael Caballero, (2010), "Solving a comprehensive model for multi-objective project portfolio selection", Computer and Operations Research, Vol. 37, Issue num 4 , pp 630-639.
 Takashi H., and Ishii H., (2007) ÔÇÿportfolio selection problem considering fuzzy returns of future scenarios-, IEEE, 0-7695-2882-1/07.
 Takashi H., and Ishii H., (2008) 'Portfolio Selection Problems Considering Fuzzy Returns Of Future Scenarios, International Journal of Innovative Computing, Information and Control, Vol. 4, No. 10.