Abstract
In the issue of financial portfolio selection, especially in emerging financial markets, the investor usually intends to make the best possible choice based on several conflicting objectives, such as return, risk, and liquidity. To obtain a suitable portfolio using ideal values and the maximum possible deviations, we suggest fuzzy goal programming and its combination with satisfaction functions and expert opinions. The model can determine the best portfolio based on the opinions of financial market experts, taking into account uncertainties. This model formulates a multiobjective financial portfolio selection approach by considering fuzzy parameters obtained from emerging financial markets. In addition, the experiences of market experts are directly included in the model to obtain the satisfaction functions. Finally, the proposed model for portfolio selection in emerging financial markets is applied to the cryptocurrency market, and the final portfolio is selected with 86.95% satisfaction from all the objectives (return, risk and liquidity). Finally, the proposed model was compared with the basic model, and its better performance is clearly noticeable.
Recommended Citation
Saleki, Milad; Fallahnezhad, Mohammad Saber; Shishebori, Davood; and Zare, Hasan Khademi
(2024).
(R2083) A Multiobjective Optimization Model for Selecting Portfolios in Emerging Financial Markets under Uncertainty,
Applications and Applied Mathematics: An International Journal (AAM), Vol. 20,
Iss.
1, Article 10.
Available at:
https://digitalcommons.pvamu.edu/aam/vol20/iss1/10