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
Formato:	article
Lenguaje:	EN
Publicado:	Ayandegan Institute of Higher Education, 2020
Materias:	portfolio optimization data envelopment analysis fuzzy sets intuitionistic fuzzy sets markowitz model Mathematics QA1-939
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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An overview of portfolio optimization using fuzzy data envelopment analysis models

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