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

Author

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  • Hossein Khanjarpanah
  • Mir Saman Pishvaee

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.

Suggested Citation

  • Hossein Khanjarpanah & Mir Saman Pishvaee, 2018. "A fuzzy robust programming approach to multi-objective portfolio optimisation problem under uncertainty," International Journal of Mathematics in Operational Research, Inderscience Enterprises Ltd, vol. 12(1), pages 45-65.
    • Handle: RePEc:ids:ijmore:v:12:y:2018:i:1:p:45-65
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