| Authors | Hossein Dastkhan, Hamid R. Golmakani , Naser Shams Gharneh |
|---|---|
| Journal | International Journal of Industrial and Systems Engineering |
| Paper Type | Full Paper |
| Published At | 2013 |
| Journal Grade | Scientific - research |
| Journal Type | Typographic |
| Journal Country | United Kingdom |
Abstract
Fuzzy mathematical programming is a powerful tool to analyse the uncertainty of financial markets. This paper deals with application of three different operators of fuzzy mathematical programming in a mean-absolute deviation portfolio selection problem with real features. These real features include minimum transaction lots, fixed and proportional transaction cost, cardinality constraint and bounds on holding constraint. Fuzzy mathematical programming prepares the decision-maker to obtain the solutions that satisfy his/her preferences. An empirical study is given to illustrate the effectiveness of the proposed models using real data from the New York stock exchange.