A fuzzy multi-objective approach for solving the portfolio selection problem / Mohamed Ahmed Mahmud Mohamed ; Supervised Hegazy Zaher , Naglaa Ragaa Saeid Hassan

Thesis (M.Sc.) - Cairo University - Faculty of Graduate Studies for Statistical Research - Department of Operations Research

In this thesis, fuzzy portfolio selection is used as an approach for solving optimization problem reaching to optimal compromise solution. It is based on S{u2013}Curve membership function which it is used to represent the vague aspiration level of investor for the best portfolio selection. The financial decision-maker is asked to make tradeoffs among conflicting objectives such as the expected return and risk in fuzzy environment.This thesis includes a brief review about the tools and approaches used for solving portfolio selection models such as goal programming, multi-objective programming, fuzzy approach, genetic algorithm, data envelopment analysis and any hybrid models. Also, the two cases studies are considered. The first one (case study 1) is about a problem includes three mutual funds and we have investment stock with fuzzy return for last five years. For solving the problem, we need to divide the funds on the three investments. Fuzzy interval programming is used to solve fuzzy multi-objective portfolio optimization model to help investor to achieve his goal among the different financial investments. In this case, it is notice that choosing the model depends highly on the risk attitude of an investor. However, rather than being risk averse or a risk taker, he/she may choose an optimal portfolio with low risk and high returns

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