Abstract
This paper proposes a new approach for modeling multiple objective portfolio selection problem by applying weighted possibilistic moments of trapezoidal fuzzy numbers. The proposed model allows the decision-maker to select the suitable portfolio taking into account the impreciseness to the market scenarios. Here, the objectives are to (i) maximize the expected portfolio return, (ii) minimize the portfolio variance, (iii) maximize the portfolio skewness, and (iv) minimize the portfolio kurtosis for the risky investor. The proposed model has been solved by Zimmermann’s fuzzy goal programming technique. The model is illustrated by a numerical example using data extracted from the Bombay Stock Exchange.
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Hossain, S.A., Bhattacharyya, R. (2015). Portfolio Selection with Possibilistic Kurtosis. In: Chakraborty, M.K., Skowron, A., Maiti, M., Kar, S. (eds) Facets of Uncertainties and Applications. Springer Proceedings in Mathematics & Statistics, vol 125. Springer, New Delhi. https://doi.org/10.1007/978-81-322-2301-6_23
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DOI: https://doi.org/10.1007/978-81-322-2301-6_23
Publisher Name: Springer, New Delhi
Print ISBN: 978-81-322-2300-9
Online ISBN: 978-81-322-2301-6
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