PORTFOLIO SELECTION PROBLEM IN FUZZY ENVIRONMENT

A NEW APPROACH FOR THE OPTIMIZATION OF PORTFOLIO SELECTION PROBLEM IN FUZZY ENVIRONMENT

This paper presents a new approach for the optimization of portfolio selection (PS) problem in fuzzy environment. The PS problem is considered with data represented by piecewise quadratic fuzzy numbers. One of the good approximations of intervals, namely close interval approximation is used for piece-wise quadratic fuzzy numbers. To optimize the approximation of closed intervals for the objective function, the order relations empowered by the preferences of policy maker are implemented on the left limit, right limit, center and on the interval-width. The minimization problem is converted into multi-objective optimization problem which can be solved using the Weighting Tchebycheff program for obtaining the optimal compromise solution. The applicability and effectiveness of the suggested solution approach is illustrated through two examples.