An overview of portfolio optimization using fuzzy data envelopment analysis models

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 qu...

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Autores principales: Mehrdad Rasoulzadeh, Mohammad Fallah
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Lenguaje:EN
Publicado: Ayandegan Institute of Higher Education, 2020
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Acceso en línea:https://doaj.org/article/2f77472ee6034c3d944e964255847ce4
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spelling oai:doaj.org-article:2f77472ee6034c3d944e964255847ce42021-11-07T10:03:36ZAn overview of portfolio optimization using fuzzy data envelopment analysis models2783-14422717-345310.22105/jfea.2020.255034.1027https://doaj.org/article/2f77472ee6034c3d944e964255847ce42020-09-01T00:00:00Zhttp://www.journal-fea.com/article_118585_12a280f76253e26623939cb95848ab1b.pdfhttps://doaj.org/toc/2783-1442https://doaj.org/toc/2717-3453A 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.Mehrdad RasoulzadehMohammad FallahAyandegan Institute of Higher Education,articleportfolio optimizationdata envelopment analysisfuzzy setsintuitionistic fuzzy setsmarkowitz modelMathematicsQA1-939ENJournal of Fuzzy Extension and Applications, Vol 1, Iss 3, Pp 180-188 (2020)
institution DOAJ
collection DOAJ
language EN
topic portfolio optimization
data envelopment analysis
fuzzy sets
intuitionistic fuzzy sets
markowitz model
Mathematics
QA1-939
spellingShingle portfolio optimization
data envelopment analysis
fuzzy sets
intuitionistic fuzzy sets
markowitz model
Mathematics
QA1-939
Mehrdad Rasoulzadeh
Mohammad Fallah
An overview of portfolio optimization using fuzzy data envelopment analysis models
description 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.
format article
author Mehrdad Rasoulzadeh
Mohammad Fallah
author_facet Mehrdad Rasoulzadeh
Mohammad Fallah
author_sort Mehrdad Rasoulzadeh
title An overview of portfolio optimization using fuzzy data envelopment analysis models
title_short An overview of portfolio optimization using fuzzy data envelopment analysis models
title_full An overview of portfolio optimization using fuzzy data envelopment analysis models
title_fullStr An overview of portfolio optimization using fuzzy data envelopment analysis models
title_full_unstemmed An overview of portfolio optimization using fuzzy data envelopment analysis models
title_sort overview of portfolio optimization using fuzzy data envelopment analysis models
publisher Ayandegan Institute of Higher Education,
publishDate 2020
url https://doaj.org/article/2f77472ee6034c3d944e964255847ce4
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