A Novel Selection Model of Optimal Portfolio based on Fuzzy Goal Planning, Considering Types of Investors

Document Type : Original Article


1 Department Management and Economics, Science and Research Branch, Tehran, Iran

2 Department of Business Management, Faculty of Management and Economics, Science and Research Branch, Islamic Azad University, Tehran, Iran.

3 Department of Financial Management, Science and Research Branch, Islamic Azad University, Tehran, Iran


Assessing risk assets is one of the most important research issues in the financial field. There are various pricing models of capital assets in financial. In many models, it is not possible to consider a lot of restrictions on portfolio selection. In this paper, for choosing optimal portfolios, taking into account the prosperity and recession periods, and the types of investors in terms of risk taking and risk aversion as a limitation, fuzzy goal models have beed used. And finally, it has been compared to the results of the Markowitz pricing model.


Ozan Kocadağlı., Rıdvan Keskin (2014) a novel portfolio selection model with preemptive Fuzzy goal programming expert systems with applications(vol.40)
2) Bellman, R. E. & Zadeh, L. A. (1970). Decision-making in a Fuzzy environment. Management Science, 17(4), 141–1
3) Black, F., Jensen, M. C., & Myron, S. (1972). The capital asset pricing model: Some (pp. 79–121). New York: Praeger Publishers
4) Chen, L. H., & Tsai, F. C. (2001). Fuzzy goal programming with different importance and priories. European Journal of Operational Research, 133, 548–556.
5) Charnes, A., & Cooper, W. W. (1961). Management models and industrial applications of linear programming. Appendix B, Basic existence theorems and goal programming (Vol. 1). New York: Wiley.
6) Chang, T. J., Meade, N., Beasley, J. E., & Sharaiha, Y.Heuristics (2000) for cardinality constrained portfolio optimization.Computers & Operations Research, 27, 1271-1302
7) Cheng, H. W. (2013). A satisficing method for fuzzy goal programming problems with different importance and priorities. Quality & Quantity, 47(1), 485–498.
8) Clarfeld, R. A., & Bernstein, P. (1997). How to interpret measures of risk understanding risk in mutual fund selection. Journal of Accountancy, 45–49.
9) Keskin, R. (2013). Fuzzy Goal Programming and Application of Portfolio Analysis, Phd Thesis,Mimar Sinan Fine Arts UniversiKocadağlı, O. and Cinemre N. (2010). A Fuzzy Non-Linear Model Approach with CAPM forPortfolio Optimization, Istanbul University Journal of the School of Business Administration, 39(2), 359-369.
11) Konno H. and Yamakazi, H., (1991). Mean Absolute Deviation Portfolio Optimization Modeland Its Application to Tokyo Stock Market, Management Science, 37, 519-531.
12) Markowitz, H. M. (1952). Portfolio selection, Journal of Finance, 7, 77-91.
13) Narasimhan, R. (1980). Goal Programming in a Fuzzy Environment. Decision Sciences, 17,325-336.
14) Fabozzi, F. J. (1999). Investment management (2nd ed.). NJ: Prentice-Hall, Inc. Fama, E. F., & French, K. R. (2004). The capital asset pricing model: Theory and evidence. Journal of Economic Perspective, 18, 25–46.
15) arra, A. M., Terol, B. A. and rı a, R. M. . (2001). A Fuzzy Goal Programming Approach to Portfolio Selection, European Journal of Operational Research, Volume 133, 2 (1), 287–297
16) Yaghoobi, M. A. and Tamiz, M. (2007). A Method For Solving Fuzzy Goal Programming Problems Based on Min-Max Approach, European Journal of Operational Research, 177, 1580-1590.
17) Zarandi, M.H.F. & Yazdi, E. H. (2008). A Type-2 Fuzzy rule-based expert system model for portfolio selection, proceeding of the 11th Joint Conference on Information Sciences Published by Atlantis Press.
18) Zimmermann, H. J. (1976). Description and Optimization of Fuzzy Systems, International Journal of General Systems, 2, 209–215.