بهینه سازی سبد سرمایه گذاری صندوق های سرمایه گذاری مشترک با روش فازی و اقتصاد کاربردی و تجارت

Conventional portfolio optimization models assume that future of the Stock Market will be predicted by past data. However, regardless of whether how accurate is the past data, this theorem in financial market is not applicable due to the high volatility of the market environment. This research is about optimization problem of fuzzy set that shows the assets return by fuzzy data. Part of the data of the actual financial information, are information from the actual data of Years 2012 and 2013 that have been obtained as fragile (and final) and another part of the survey experts as predictive information was obtained for the years 2014 to 2017 in the form of triangular fuzzy numbers. To optimize portfolio, nonlinear mathematical models for some were specified and presented then using the change of variables technique that in operations research literature is a simple technique, two models could merged and integer linear model variables were created and the results were used to calculate the software Lingo. Finally the results were obtained in accordance with a basics idea of financial economics that whatever the degree of investment risk, is more he want to get more return.