Fuzzy quadratic multiobjective portfolio selection model: a possibility approach
This paper develops a quadratic multiobjective model with fuzzy returns of the portfolio selection problem (QMPS). The obtained fuzzy model cannot be efficiently solved using traditionally approaches. A possibility approach is introduced in which objectives are treated as fuzzy events. The approach transforms the fuzzy QMPS model into a possibility QMPS problem by using possibility measures of fuzzy events. A particle swarm optimization algorithm is used to solve the crisp quadratic problem obtained. A numerical example is provided to demonstrate the effectiveness of the solution approach and the model efficiency.
Keywords: fuzzy portfolio selection, quadratic multiobjective problem, Possibility theory, Particle swarm optimization
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ABOUT THE AUTHORS
Houssine Tlig
Houssine TLIG received his Ph.D. (Quantitative Methods) degree in 2012 from university of Sfax , Tunisia. He is presently working as Assistant in the National Engineering School of Gabes, Tunisia. His research interest includes Optimization, Fuzzy Sets, Stochastic Systems and Data mining
Abdesselem Dakhli
Abdesselem dakhli he received his BA in scientific in 1997, he continued these academic studies to FSEG Sfax ,Tunisia. He obtained his teacher’s cerificate in data processing applied to management in June 2001. He continued his degree of Masters in ISIMG of Gabes, Tunisia in 2008. In 2010, he received his Master degree in Information system in the same Institute. In August 2005 he was assigned to the ISG Gabes, Tunisia. Currently, he is a teacher at ISG. In 2012, now he prepares a Phd thesis of bioinformatic in ENIS. Abdesselem dakhli he also participated in one internationnale conference. His areas of research are: Tomography, Bioinformatics
Houssine Tlig
Houssine TLIG received his Ph.D. (Quantitative Methods) degree in 2012 from university of Sfax , Tunisia. He is presently working as Assistant in the National Engineering School of Gabes, Tunisia. His research interest includes Optimization, Fuzzy Sets, Stochastic Systems and Data mining
Abdesselem Dakhli
Abdesselem dakhli he received his BA in scientific in 1997, he continued these academic studies to FSEG Sfax ,Tunisia. He obtained his teacher’s cerificate in data processing applied to management in June 2001. He continued his degree of Masters in ISIMG of Gabes, Tunisia in 2008. In 2010, he received his Master degree in Information system in the same Institute. In August 2005 he was assigned to the ISG Gabes, Tunisia. Currently, he is a teacher at ISG. In 2012, now he prepares a Phd thesis of bioinformatic in ENIS. Abdesselem dakhli he also participated in one internationnale conference. His areas of research are: Tomography, Bioinformatics
