DocumentCode :
3712270
Title :
Portfolio selection in Indonesia stock market with fuzzy bi-objective linear programming
Author :
Retno Subekti;Rosita Kusumawati
Author_Institution :
Mathematics Education Department, Yogyakarta State University, Indonesia
fYear :
2015
Firstpage :
97
Lastpage :
102
Abstract :
Selecting a portfolio which has the lowest investment risk and also the highest investment return known as a portfolio selection problem. An alternative way finding optimum solution of this bi-objective programming problem is transforming the problem into a single objective programming problem using fuzzy decision-making theory. The investment risk is expressed by mean absolute deviation of the return assets, while the investment return is expressed by the average of return assets. This fuzzy bi-objective linear programming (FBLP) is applied to construct an optimum portfolio in Indonesian stock market. The numerical result of FBLP is the same compared with weighted sum approach, but FBLP integrates better the knowledge and subjective opinion of investor where the range rate of risk which can be accepted by investor is incorporated in the model.
Keywords :
"Portfolios","Investment","Linear programming","Numerical models","Decision making","Computational modeling","Education"
Publisher :
ieee
Conference_Titel :
Research and Education in Mathematics (ICREM7), 2015 International Conference on
Type :
conf
DOI :
10.1109/ICREM.2015.7357034
Filename :
7357034
Link To Document :
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