%0 Journal Article
	%A M. S. Osman and  A. A. Tharwat and  I. A. El-Khodary and  A. G. Chalabi
	%D 2011
	%J International Journal of Computer and Information Engineering
	%B World Academy of Science, Engineering and Technology
	%I Open Science Index 59, 2011
	%T A Fuzzy Mixed Integer Multi-Scenario Portfolio Optimization Model
	%U https://publications.waset.org/pdf/1453
	%V 59
	%X 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.

	%P 1198 - 1205