An overview of portfolio optimization using fuzzy data envelopment analysis models

Journal Title: Journal of Fuzzy Extension & Applications - Year 2020, Vol 1, Issue 3

Abstract

A combination of projects, assets, programs, and other components put together in a set is called a portfolio. Arranging these components helps to facilitate the efficient management of the set and subsequently leads to achieving the strategic goals. Generally, the components of the portfolio are quantifiable and measurable which makes it possible for management to manage, prioritize, and measure different portfolios. In recent years, the portfolio in various sectors of economics, management, industry, and especially project management has been widely applied and numerous researches have been done based on mathematical models to choose the best portfolio. Among the various mathematical models, the application of data envelopment analysis models due to the unique features as well as the capability of ranking and evaluating performances has been taken by some researchers into account. In this regard, several articles have been written on selecting the best portfolio in various fields, including selecting the best stocks portfolio, selecting the best projects, portfolio of manufactured products, portfolio of patents, selecting the portfolio of assets and liabilities, etc. After presenting the Markowitz mean-variance model for portfolio optimization, these pieces of research have witnessed significant changes. Moreover, after the presentation of the fuzzy set theory by Professor Lotfizadeh, despite the ambiguities in the selection of multiple portfolios, a wide range of applications in portfolio optimization was created by combining mathematical models of portfolio optimization.

Authors and Affiliations

Mehrdad Rasoulzadeh; Mohammad Fallah

Keywords

Related Articles

Spherical interval-valued fuzzy bi-ideals of gamma near-rings

In this paper we introduce the concept of the spherical interval-valued fuzzy bi-ideal of gamma near-ring R and its some results. The union and intersection of the spherical interval-valued fuzzy bi-ideal of gamma near-r...

Assessment and linear programming under fuzzy conditions

The present work focuses on two directions. First, a new fuzzy method using triangular / trapezoidal fuzzy numbers as tools is developed for evaluating a group’s mean performance, when qualitative grades instead of numer...

A new decision making approach for winning strategy based on muti soft set logic

We introduce a new concept of certainty and coverage of a parameter of the soft set and present a new decision making approach for the soft set over the universe using the certainty of a parameter. Also, we point out the...

Multi item inventory model include lead time with demand dependent production cost and set-up-cost in fuzzy environment

In this paper, we have developed the multi-item inventory model in the fuzzy environment. Here we considered the demand rate is constant and production cost is dependent on the demand rate. Set-up- cost is dependent on a...

Application of transportation problem under pentagonal Neutrosophic environment

The paper talks about the pentagonal Neutrosophic sets and its operational law. The paper presents the cut of single valued pentagonal Neutrosophic numbers and additionally introduced the arithmetic operation of single-v...

Download PDF file
  • EP ID EP692657
  • DOI 10.22105/JFEA.2020.255034.1027
  • Views 156
  • Downloads 0

How To Cite

Mehrdad Rasoulzadeh; Mohammad Fallah (2020). An overview of portfolio optimization using fuzzy data envelopment analysis models. Journal of Fuzzy Extension & Applications, 1(3), -. https://europub.co.uk/articles/-A-692657