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

Authors: Hossein Khanjarpanah; Mir Saman Pishvaee

Addresses: School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran ' School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran

Abstract: 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.

Keywords: fuzzy mathematical programming; robust optimisation; portfolio problem; possibilistic mean; possibilistic variance; flexible constraints.

DOI: 10.1504/IJMOR.2018.088576

International Journal of Mathematics in Operational Research, 2018 Vol.12 No.1, pp.45 - 65

Received: 10 Mar 2016
Accepted: 20 Jul 2016
Published online: 12 Dec 2017 *

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