Optimization of Risk and Return Using Fuzzy Multiobjective Linear Programming
Joint Authors
Panwar, Darsha
Jha, Manoj
Srivastava, Namita
Source
Issue
Vol. 2018, Issue 2018 (31 Dec. 2018), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2018-09-03
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
Stock selection poses a challenge for both the investor and the finance researcher.
In this paper, a hybrid approach is proposed for asset allocation, offering a combination of several methodologies for portfolio selection, such as investor topology, cluster analysis, and the analytical hierarchy process (AHP) to facilitate ranking the assets and fuzzy multiobjective linear programming (FMOLP).
This paper considers some important factors of stock, like relative strength index (RSI), coefficient of variation (CV), earnings yield (EY), and price to earnings growth ratio (PEG ratio), apart from the risk and return and stocks which are included within these same factors.
Employing fuzzy multiobjective linear programming, optimization is performed using seven objective functions viz., return, risk, relative strength index (RSI), coefficient of variation (CV), earnings yield (EY), price to earnings growth ratio (PEG ratio), and AHP weighted score.
The FMOLP transforms the multiobjective problem to a single objective problem using the “weighted adaptive approach” in which the weights are calculated by AHP or choices by the investors.
The FMOLP model permits choices in solution.
American Psychological Association (APA)
Panwar, Darsha& Jha, Manoj& Srivastava, Namita. 2018. Optimization of Risk and Return Using Fuzzy Multiobjective Linear Programming. Advances in Fuzzy Systems،Vol. 2018, no. 2018, pp.1-9.
https://search.emarefa.net/detail/BIM-986263
Modern Language Association (MLA)
Panwar, Darsha…[et al.]. Optimization of Risk and Return Using Fuzzy Multiobjective Linear Programming. Advances in Fuzzy Systems No. 2018 (2018), pp.1-9.
https://search.emarefa.net/detail/BIM-986263
American Medical Association (AMA)
Panwar, Darsha& Jha, Manoj& Srivastava, Namita. Optimization of Risk and Return Using Fuzzy Multiobjective Linear Programming. Advances in Fuzzy Systems. 2018. Vol. 2018, no. 2018, pp.1-9.
https://search.emarefa.net/detail/BIM-986263
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-986263