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https://ptsldigital.ukm.my/jspui/handle/123456789/578915| Title: | A goal programming model for portfolio optimisation problem in fuzzy environment |
| Authors: | Mokhtar M (UITM) Shuib A (UITM) Mohamad D (UITM) |
| Keywords: | Portfolio optimisation Goal programming Fuzzy portfolio Multi-objective |
| Issue Date: | Apr-2017 |
| Description: | Portfolio 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. |
| News Source: | Pertanika Journals |
| ISSN: | 0128-7680 |
| Volume: | 25 |
| Pages: | 593-606 |
| Publisher: | Universiti Putra Malaysia Press |
| Appears in Collections: | Journal Content Pages/ Kandungan Halaman Jurnal |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| ukmvital_116324+Source01+Source010.PDF | 362.52 kB | Adobe PDF |  View/Open |
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