版权所有:内蒙古大学图书馆 技术提供:维普资讯• 智图
内蒙古自治区呼和浩特市赛罕区大学西街235号 邮编: 010021
作者机构:Dumlupinar Univ Dept Ind Engn Kutahya Turkey
出 版 物:《OPTIMIZATION》 (最优化)
年 卷 期:2012年第61卷第4期
页 面:423-441页
核心收录:
学科分类:12[管理学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 07[理学] 070105[理学-运筹学与控制论] 0701[理学-数学]
主 题:fuzzy MCDM fuzzy AHP multi-objective programming portfolio optimization reservation level driven Tchebycheff procedure
摘 要:Portfolio selection problems consist of two phases: stock evaluation and portfolio optimization. This article presents an integrated approach to solve these sub-problems. Stock evaluation problem includes vague parameters, and fuzzy set is a useful tool to cope with uncertainty caused by both the financial markets and the behaviour of the investors decisions. In the first phase, a fuzzy multi-criteria decision-making approach is proposed to evaluate 30 stocks taken from ISE30. Then, a multi-objective portfolio optimization model is presented in the second phase. Markowitz s mean-variance model is combined with the objective of the expected performance value of portfolio and cardinality constraints. This multi-objective real-life problem was solved by using the reservation level driven Tchebycheff procedure. Finally, the most preferred non-dominated solutions were determined by considering investors preferences.