A fuzzy random multi-objective approach for portfolio selection

Authors

1 Professor, Dep. of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran

2 M.Sc., School of Industrial Engineering, Islamic Azad University, South Tehran branch, Tehran, Iran

3 Ph.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.

Keywords