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- Title
Multi-objective Mathematical Model for Asset Portfolio Selection using Neutrosophic Goal Programming Technique.
- Authors
Chaudhury, Rahul; Islam, Sahidul
- Abstract
In this paper we have considered a multi-objective asset portfolio selection optimization model with the objectives maximization of the expected return of the portfolio and simultaneously minimizing the overall risk of the asset portfolio. Our model is an improved and enlarged version in a particular direction. In our model we had incorporated transaction cost in the first objective. We had considered absolute deviation as risk measure. Our portfolio optimization model had been solved by generalized neutrosophic goal programming method. For applicability of this technique and demonstration of the methodology we have illustrated it numerically by data taken from National Stock Exchange (NSE). And finally the result obtained using generalized neutrosophic goal programming approach is compared with that of the result obtained different method of aggregation for objective functions.
- Subjects
NATIONAL Stock Exchange of India Ltd.; GOAL programming; MATHEMATICAL models; PORTFOLIO management (Investments); EXPECTED returns; TRANSACTION costs; STOCK exchanges
- Publication
Neutrosophic Sets & Systems, 2022, Vol 50, p356
- ISSN
2331-6055
- Publication type
Article