| dc.description.abstract | Mathematical applications is widely used in di erent aspects of human life, particularly
in nance. Quantitative models are created to nd the optimal solutions for
nancial problems have helped signi cantly banking system, fund management, and
brokerage companies. A common example is that the forming of portfolio which
could satisfy conditions from investors is really necessary, particularly in the modern
world where people is easy to be a ected by incorrect informations. In the
past, the Modern Portfolio Theory of Markowitz had been mentioned many times.
This is considered as a rm base for lots of nancial model in later century. However,
the growth of human demand requires a model which can solve many di erent
conditions in the same time. There are many ways to solve the above issues. As
far as I concerned, Preemptive Fuzzy Goal Programming is the best method which
can be used to the nd optimal investment ratio. Furthermore, the usage of fuzzy
numbers supports investor's selection become more
exible than ordinary number.
This research will focus on using Preemptive Fuzzy Goal Approach for portfolio
optimization. The proposed method has been tested with data from Vietnam Stock
Market - the adjusted closing price of 30 stocks traded in VN30 Equal Weight Index
in downward and upward period of the market. The result is compared with those
from Markowitz's model. It shows that the Preemptive Fuzzy Goal Programing
perform better than Markowitz in both upward and downward trend of Vietnam
stock market. Due to the scope of Vietnamese legal, running the research model
had to face many problems without making assumptions. In the near future, this
research will be improved to be suitable to Vietnam stock market regulations.
Keywords: Application of Mathematics, Portfolio Optimization, Markwotiz's
model, Preemptive Fuzzy Goal Programming. | en_US |
