Portfolio Selection Models Based On Coherent Uncertain Fuzzy Variable
Keywords:
Uncertain measure, coherent uncertain variable, coherent uncertain skewness, fuzzy portfolio selectionAbstract
This paper deals with uncertain portfolio selection under sensibility situations of the stock market. An investor can realize pessimistic, optimistic, or natural situations about the stock market. To acquire these conditions, a coherent uncertain fuzzy variable as an extension of the uncertain fuzzy variable is introduced. Here, the returns of the risky stocks are regarded as coherent uncertain fuzzy variables. First, we obtained coherent expected value, coherent semi-absolute deviation, and coherent skewness for coherent uncertain fuzzy variables and also reviewed some properties. Next, the coherent uncertain mean-semiabsolute deviation model and coherent uncertain mean-semiabsolute deviation-skewness model for coherent uncertain portfolio selection are presented by taking into account the bounds and cardinality constraints. To solve the proposed multi-objective optimization problem, a polynomial goal programming approach is suggested. In addition, a dominant numerical analysis of the proposed work and its comparison with existing works are presented.
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