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.

Keywords

Main Subjects

  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.
  5. Fallahpour, S., Safari, H., & Omrani, N. (2014). Portfolio selection using combination of logarithmic fuzzy preference programming method and PROMETHE. Journal of financial management strategy, 2(2), 103-120.
  6. Jafaria, M., & Dezfouli Khajehzadeh, M. (2015). Robust fuzzy multi objective optimization model for portfolio selection. Journal of decision engineering, 1(1), 31-56. DOI: 22051/JFM.2015.985
  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 journal20(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.