Multi-objective Mathematical Model for Asset Portfolio Selection using Neutrosophic Goal Programming Technique
In this paper we have considered a multi-objective asset portfolio selection optimization model with the objectives maximization of the expected return of the portfolio and simultaneously minimizing the overall risk of the asset portfolio. Our model is an improved and enlarged version in a particula...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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University of New Mexico
2022-06-01
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| Series: | Neutrosophic Sets and Systems |
| Subjects: | |
| Online Access: | http://fs.unm.edu/NSS/PortfolioSelectionNeutrosophic20.pdf |
| _version_ | 1811336332517048320 |
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| author | Rahul Chaudhury Sahidul Islam |
| author_facet | Rahul Chaudhury Sahidul Islam |
| author_sort | Rahul Chaudhury |
| collection | DOAJ |
| description | In this paper we have considered a multi-objective asset portfolio selection optimization model with the objectives maximization of the expected return of the portfolio and simultaneously minimizing the overall risk of the asset portfolio. Our model is an improved and enlarged version in a particular direction. In our model we had incorporated transaction cost in the first objective. We had considered absolute deviation as risk measure. Our portfolio optimization model had been solved by generalized neutrosophic goal programming method. For applicability of this technique and demonstration of the methodology we have illustrated it numerically by data taken from National Stock Exchange (NSE). And finally the result obtained using generalized neutrosophic goal programming approach is compared with that of the result obtained different method of aggregation for objective functions |
| first_indexed | 2024-04-13T17:37:53Z |
| format | Article |
| id | doaj.art-7a00b16b08db4cf29957c5dead7c6c92 |
| institution | Directory Open Access Journal |
| issn | 2331-6055 2331-608X |
| language | English |
| last_indexed | 2024-04-13T17:37:53Z |
| publishDate | 2022-06-01 |
| publisher | University of New Mexico |
| record_format | Article |
| series | Neutrosophic Sets and Systems |
| spelling | doaj.art-7a00b16b08db4cf29957c5dead7c6c922022-12-22T02:37:18ZengUniversity of New MexicoNeutrosophic Sets and Systems2331-60552331-608X2022-06-015035637110.5281/zenodo.6774835Multi-objective Mathematical Model for Asset Portfolio Selection using Neutrosophic Goal Programming TechniqueRahul ChaudhurySahidul IslamIn this paper we have considered a multi-objective asset portfolio selection optimization model with the objectives maximization of the expected return of the portfolio and simultaneously minimizing the overall risk of the asset portfolio. Our model is an improved and enlarged version in a particular direction. In our model we had incorporated transaction cost in the first objective. We had considered absolute deviation as risk measure. Our portfolio optimization model had been solved by generalized neutrosophic goal programming method. For applicability of this technique and demonstration of the methodology we have illustrated it numerically by data taken from National Stock Exchange (NSE). And finally the result obtained using generalized neutrosophic goal programming approach is compared with that of the result obtained different method of aggregation for objective functionshttp://fs.unm.edu/NSS/PortfolioSelectionNeutrosophic20.pdfportfoliogeneralized neutrosophic goal programmingarithmetic aggregationgeometric aggregation |
| spellingShingle | Rahul Chaudhury Sahidul Islam Multi-objective Mathematical Model for Asset Portfolio Selection using Neutrosophic Goal Programming Technique Neutrosophic Sets and Systems portfolio generalized neutrosophic goal programming arithmetic aggregation geometric aggregation |
| title | Multi-objective Mathematical Model for Asset Portfolio Selection using Neutrosophic Goal Programming Technique |
| title_full | Multi-objective Mathematical Model for Asset Portfolio Selection using Neutrosophic Goal Programming Technique |
| title_fullStr | Multi-objective Mathematical Model for Asset Portfolio Selection using Neutrosophic Goal Programming Technique |
| title_full_unstemmed | Multi-objective Mathematical Model for Asset Portfolio Selection using Neutrosophic Goal Programming Technique |
| title_short | Multi-objective Mathematical Model for Asset Portfolio Selection using Neutrosophic Goal Programming Technique |
| title_sort | multi objective mathematical model for asset portfolio selection using neutrosophic goal programming technique |
| topic | portfolio generalized neutrosophic goal programming arithmetic aggregation geometric aggregation |
| url | http://fs.unm.edu/NSS/PortfolioSelectionNeutrosophic20.pdf |
| work_keys_str_mv | AT rahulchaudhury multiobjectivemathematicalmodelforassetportfolioselectionusingneutrosophicgoalprogrammingtechnique AT sahidulislam multiobjectivemathematicalmodelforassetportfolioselectionusingneutrosophicgoalprogrammingtechnique |