A Novel Selection Model of Optimal Portfolio based on Fuzzy Goal Planning, Considering Types of Investors

Assessing risk assets is one of the most important research issues in the financial field. There are various pricing models of capital assets in financial. In many models, it is not possible to consider a lot of restrictions on portfolio selection. In this paper, for choosing optimal portfolios, taking into account the prosperity and recession periods, and the types of investors in terms of risk taking and risk aversion as a limitation, fuzzy goal models have beed used. And finally, it has been compared to the results of the Markowitz pricing model.

کلیدواژه ها:

Multiple objective programming ، Fuzzy Goal programming ، Portfolio selection model ، Risk preferences of investors ، Capital Asset Pricing Model