Asset portfolio optimization using fuzzy mathematical programming

Authors:
Pankaj Gupta;Mukesh Kumar Mehlawat;Anand Saxena
Affiliations:
Department of Operational Research, University of Delhi, Delhi, India;Department of Operational Research, University of Delhi, Delhi, India;Department of Commerce, Deen Dayal Upadhyaya College, University of Delhi, Shivaji Marg, Karampura, New Delhi, India
Venue:
Information Sciences: an International Journal
Year:
2008

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Abstract

By morphing mean-variance optimization (MVO) portfolio model into semi-absolute deviation (SAD) model, we apply multi criteria decision making (MCDM) via fuzzy mathematical programming to develop comprehensive models of asset portfolio optimization (APO) for the investors' pursuing either of the aggressive or conservative strategies.