Extension of Portfolio Selection Problem with Fuzzy Goal Programming: A Fuzzy Allocated Portfolio Approach

Abstract

Recently, the economic crisis has resulted in instability in stock exchange market and this has caused high volatilities in stock value of exchanged firms. Under these conditions, considering uncertainty for a favorite investment is more serious than before. Multi-objective Portfolio selection (Return, Liquidity, Risk and Initial cost of Investment objectives) using MINMAX fuzzy goal programming for a Fuzzy Allocated Portfolio is considered in this research and all the main sectors of investment are assumed under uncertainty. A numerical example on stock exchange is presented to demonstrate the validity and strengths of the proposed approach.

Keywords

• Portfolio selection
• Fuzzy Allocated Portfolio (FAP)
• fuzzy goal programming
• MINMAX Approach