A fuzzy robust programming approach to multi-objective portfolio optimisation problem under uncertainty

DOI10.1504/IJMOR.2018.088576MaRDI QIDQ2204567zbMATH OpenFDO

Authors Yanyan Li

Publication date 15 October 2020

Published in International Journal of Mathematics in Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1504/IJMOR.2018.088576

zbMATH Keywords

flexible constraintsfuzzy mathematical programmingportfolio problempossibilistic meanpossibilistic variancerobust optimisation

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Portfolio theory (91G10)

Review text

Summary: Portfolio selection is one of the most important problems in financial markets. This paper proposes a novel robust flexible portfolio optimisation model based on possibilistic mean and variance and flexible constraints, to cope with inherent uncertainty of such problem. The proposed model is extended by introducing a modified robust flexible approach. The developed models are evaluated and validated by using the real data of Tehran stock exchange. The obtained results show that in higher violation penalties, the proposed models outperform the deterministic model. In addition, experimental analyses are provided to compare the performance of the robust flexible portfolio optimisation model to the modified version.

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• A robust fuzzy approach for constrained multi-product economic production quantity with imperfect items and rework process
• A possibilistic programming approach to portfolio optimization problem under fuzzy data

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