Portfolio Optimization Using Multi Criteria Decision Making

Abstract

Finance represents “money” and the process of acquiring needed funds. The basic idea of financial mathematics is making appropriate decisions in the face of uncertainty. Fuzzy set theory, soft computing, optimization are some of the tools for handling the uncertainty in finance. One of the key objectives of financial mathematics is to construct the best investment strategy that minimizes risks and maximizes the return in the real world. The portfolio optimization model is a mathematical model in which return, risk, dividend and liquidity are objective functions. The main objective is to develop optimal portfolio in the increasingly important areas of Multi Criteria Decision Making (MCDM).