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fuzzy random multi-objective approach for portfolio selection
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نویسنده
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Aryanezhad M.B. ,Malekly H. ,Karimi-Nasab M.
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منبع
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journal of industrial engineering international - 2011 - دوره : 7 - شماره : 13 - صفحه:12 -21
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چکیده
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In this paper, the portfolio selection problem is considered, where fuzziness and randomness appear simultaneously in optimization process. since return and dividend play an important role in such problems, a new model is developed in a mixed environment by incorporating fuzzy random variable as multi-objective nonlinear model. then a novel interactive approach is proposed to determine the preferred solution. finally a numerical example is presented to illustrate the proposed model.
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کلیدواژه
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Fuzzy random programming; Multi-objective; Nonlinear programming; Portfolio selection.
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آدرس
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iran university of science and technology, Dep of Industrial Engineering, ایران, islamic azad university, School of Industrial Engineering, ایران, iran university of science and technology, Industrial Engineering, ایران
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Authors
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