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Please use this identifier to cite or link to this item: https://ptsldigital.ukm.my/jspui/handle/123456789/578915
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dc.contributor.authorMokhtar M (UITM)
dc.contributor.authorShuib A (UITM)
dc.contributor.authorMohamad D (UITM)
dc.date.accessioned2023-11-06T03:10:21Z-
dc.date.available2023-11-06T03:10:21Z-
dc.date.issued2017-04
dc.identifier.issn0128-7680
dc.identifier.otherukmvital:116324
dc.identifier.urihttps://ptsldigital.ukm.my/jspui/handle/123456789/578915-
dc.descriptionPortfolio optimisation is one of the most crucial issues in investment decision-making and has received considerable attention from researchers and practitioners. Traditionally, the portfolio optimisation models are formulated based on the assumption that investors have complete information on the distribution of random returns. However, in real life case, this is not possible since decisions have to be made under uncertainty. This paper deals with a fuzzy portfolio optimisation problem in which returns and turnover rates of securities are represented by fuzzy variables. A goal programming model is proposed to optimise three objectives: maximisation of portfolio return, maximisation of liquidity and minimisation of the portfolio risk. The cardinality constraints, floor and ceiling constraints are also taken into consideration. Finally, a numerical experiment using real data is conducted to demonstrate the applicability of the model.
dc.language.isoen
dc.publisherUniversiti Putra Malaysia Press
dc.relation.haspartPertanika Journals
dc.relation.urihttp://www.pertanika.upm.edu.my/regular_issues.php?jtype=2&journal=JST-25-2-4
dc.rightsUKM
dc.subjectPortfolio optimisation
dc.subjectGoal programming
dc.subjectFuzzy portfolio
dc.subjectMulti-objective
dc.titleA goal programming model for portfolio optimisation problem in fuzzy environment
dc.typeJournal Article
dc.format.volume25
dc.format.pages593-606
dc.format.issue2
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