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Asset portfolio optimization using fuzzy mathematical programming |
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| Authors: | Pankaj Gupta Mukesh Kumar Mehlawat |
| Affiliation: | a Department of Operational Research, University of Delhi, Delhi, India b Department of Commerce, Deen Dayal Upadhyaya College, University of Delhi, Shivaji Marg, Karampura, New Delhi, India |
| Abstract: | By morphing mean-variance optimization (MVO) portfolio model into semi-absolute deviation (SAD) model, we apply multi criteria decision making (MCDM) via fuzzy mathematical programming to develop comprehensive models of asset portfolio optimization (APO) for the investors’ pursuing either of the aggressive or conservative strategies. |
| Keywords: | Fuzzy sets Portfolio selection Fuzzy mathematical programming Risk Semi-absolute deviation Multi criteria decision making |
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