Open Access
Research Article
Multi-objective fuzzy optimization under uncertainty for investment portfolio selection in emerging financial markets
Milad Salekimilad.saleki@stu.yazd.ac.irDepartment of Industrial Engineering Yazd University P. O. BOX 89195-741 Pejoohesh StreetSafa-ieh, Yazd, IranView full profile → , *Mohammad Saber FallahnezhadCorresponding authorfallahnezhad@yazd.ac.irDepartment of Industrial Engineering Yazd University P. O. BOX 89195-741 Pejoohesh StreetSafa-ieh, Yazd, 89195-741, Iran0000-0003-3343-2769View full profile → , Davood Shisheborishishebori@yazd.ac.irDepartment of Industrial Engineering Yazd University P. O. BOX 89195-741 Pejoohesh StreetSafa-ieh, Yazd, IranView full profile → , Mohammad Aref Dehghani Taftiaref.dehghani.t@gmail.comDepartment of Industrial Engineering Yazd University P. O. BOX 89195-741 Pejoohesh StreetSafa-ieh, Yazd, IranView full profile →
* Corresponding author · click or hover a name for details
- Received:
- 09 Aug 2023
- Published Online:
- 02 Mar 2026
- Article type:
- Research Article
- Language:
- EN
- Article no.:
- JIOS-1574
- Pages:
- 849–885
Abstract
In the problem of selecting an investment portfolio, especially in emerging financial markets, the investor usually intends to make the best possible choice for investment while using several different objectives, such as returns, liquidity, and risk. For this purpose, a new method is proposed using goal values and the maximum possible deviations for each goal. Fuzzy goals, fuzzy interval values for each asset, and their combination with satisfaction functions are employed to develop a fuzzy goal programming model. It is also suggested that the goals be weighted based on the comments of decision-making experts. This approach can determine an optimal solution based on the uncertainties of the financial markets (fuzzy interval values of the goals) and choose the portfolio based on the best possible level of the goals. The objective is to model a multi-objective investment portfolio selection problem, taking into account the fuzzy interval values, in which the distributions and fuzzy intervals are expressed using the data available in the decision-making environment. In addition, the opinions of market experts have been used directly to weigh goals. Finally, the proposed approach for choosing the investment portfolio in the crypto-currency market is implemented, and the 100% satisfaction level of the investment portfolio in all the objectives of the problem, i.e., return, liquidity, and risk, is obtained as the final output.
Keywords
Subject Classifications
97M40
References
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