Aryanezhad, M., Malekly, H., Karimi-Nasab, M. (2011). A fuzzy random multi-objective approach for portfolio selection. Journal of Industrial Engineering, International, 7(13), 12-21.
M.B Aryanezhad; H Malekly; M Karimi-Nasab. "A fuzzy random multi-objective approach for portfolio selection". Journal of Industrial Engineering, International, 7, 13, 2011, 12-21.
Aryanezhad, M., Malekly, H., Karimi-Nasab, M. (2011). 'A fuzzy random multi-objective approach for portfolio selection', Journal of Industrial Engineering, International, 7(13), pp. 12-21.
Aryanezhad, M., Malekly, H., Karimi-Nasab, M. A fuzzy random multi-objective approach for portfolio selection. Journal of Industrial Engineering, International, 2011; 7(13): 12-21.
A fuzzy random multi-objective approach for portfolio selection
1Professor, Dep. of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran
2M.Sc., School of Industrial Engineering, Islamic Azad University, South Tehran branch, Tehran, Iran
3Ph.D. Student, Dep. of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran
Abstract
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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