Multi-Objective Portfolio Optimization Model with Fuzzy-Robust Hybrid Approach (As a case:Tehran Stock Exchange)
Quarterly Journal of Securities Exchange

Quarterly Journal of Securities Exchange

Multi-Objective Portfolio Optimization Model with Fuzzy-Robust Hybrid Approach (As a case:Tehran Stock Exchange)

Document Type : Original Article

Authors
Mahsa Jaberi 1
Emran Mohammadi 2
Amir Azizi 1
1 Department of industrial engineering, Science and research branch, Islamic Azad University, Tehran, Iran
2 Department of industrial engineering, University of Science & Technology, Tehran, Iran
10.22034/jse.2020.11352.1532
Abstract
The novel theory of the portfolio optimization has developed based on the fundamental Markowitz model. The Markowitz model is unique in terms of theory, but its weaknesses prevent the use of this model in practice. In this model, the return rate is extracted based on past data, but in this research, future scenarios related to return rates has been used in the investment process. The Markowitz model and its subsequent generalizations are multi-objective. In this study, from the development approach of Zimmermann's multi-objective optimization approach, that has fuzzy like structure, has been used. Also, for confront with the uncertainties from a robust optimization approach based on minimization of regret, has been used. In other words, first describe Zimmermann's model by considering the scenarios and specific weighting combinations, for the two purposes of minimizing risk and maximizing return, and then the minimax regret solution has been calculated with respect to the considered scenarios and weighted combinations. In the end of this paper, in order to evaluate the performance and validation of the proposed model, it has been implemented in Tehran Stock Exchange.
Keywords
portfolio
Multi-Objective optimization
Zimmermann fuzzy approach
Minimax regret
robustness
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Quarterly Journal of Securities Exchange
Volume 15, Issue 59
Autumn 2022
Pages 441-470