Journal of Fuzzy Extension and Applications

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Application of fuzzy logic in portfolio management: evidence from Iranian researches

Document Type : Review Paper

Authors

1 Department of Financial Management, Tonekabon Branch, Islamic Azad University, Iran.

2 Department of Business Management, Tonekabon Branch, Islamic Azad University, Iran.

Abstract

Over the past decades, financial researchers have proposed different methods in portfolio selection, so that, Markwotiz [1] introduced risk and return criteria for a portfolio selection. Since it is difficult how to select an adequate stock portfolio, fuzzy models have been able to help researchers by considering uncertainty. In this research, we surveyed a portfolio management by reviewing the relevant literature of fuzzy model in financial management. The results showed that a fuzzy model can to determine an optimal portfolio.

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References
[1]     Markwotiz, H. (1952). Portfolio selection. Journal of finance, 7, 77-91.
[2]     Khanjarpanah, H., Pishvaee, M. S., & Jabbarzadeh, A. (2017). Optimizing a flexible constrained portfolio in stock exchange with fuzzy programming. Journal of operational research and its applications (journal of applied mathematics), 13(4), 39-54.
[3]     Shams Lahroudi, S. H., Ahmadi, H., & Fekrvand Lilabadi, M. (1397). Provide a ranking model of effective factors in selecting the optimal portfolio by investors with integrated fuzzy MCDM techniques. New research approaches in management and accounting, 8(2), 87-100.
[4]     Zadeh, L. A. (1965). Information and control. Fuzzy sets, 8(3), 338-353.
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[7]     Didehkhani, H. (2019). Solving the multiobjective portfolio rebalancing model with fuzzy parameters to develop the expected value by genetic algorithm. Financial engineering and securities management (portfolio management), 9(37), 263-298.
[8]     Ghehi, A. S., Didehkhani, H., Damghani, K. K., & Saeedi, P. (2017). A comparative study of multi-objective multi-period portfolio optimization models in a fuzzy credibility environment using different risk measures. Journal of financial management strategy, 5(18).
[9]   Behnamian, J., & Moshrefi, M. (2017). Hybrid meta-heuristic algorithm for multi-objective portfolio optimization by fuzzy programming. Financial engineering and securities management (portfolio management), 8(30), 33-53.
[10] Nabizade, A., & Behzadi, A. (2018). Higher moments portfolio optimization with entropy based polynomial goal programming. Financial research journal, 20(2), 193-210.
[11] Nabavi Chashmi, A., Yousefi Kerchangi, R. (2011). Determination of optimal portfolio using fuzzy goal programming technique. Financial engineering and securities management, 2(9), 107-134.
Journal of Fuzzy Extension and Applications
Volume 1, Issue 2
Spring 2020
Pages 115-118
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