A Fuzzy Programming Approach to Multi-objective Mean Variance Model

Abstract

Abstract. The traditional single objective mean variance optimization model fails to satisfy the investors with multiple investment objectives. So multi-objective portfolio optimization model is considered in this paper. Since this will help investors to achieve highest expected return among the different financial products of the capital market and to fulfill the expected return objectives simultaneously. Fuzzy Non-Linear Programming (FNLP) and Fuzzy Additive Goal Programming (FAGP) techniques are used to solve this multi-objective model. Since it will fulfill the wanted aspiration level of the investors concerning return and risk objectives. And finally solution procedure is illustrated by numerical examples.