Portfolio Optimization with Fuzzy Returns
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Financial problems and particularly portfolio selection have been the issues which a corpus of studies has been conducted on them. The purpose of the present study was to optimize portfolio selection, in order to have concordance with environmental condition and obtain better results compared to previous methods. The problems of portfolio selection along with asset return which were in the form of fuzzy variables were investigated in this study. We provided a fuzzy non linear integer programming model for portfolio selection. A numerical example from Tehran Stock Exchange demonstrates the application of the proposed method.
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