Optimization a Fuzzy multi-objective shareholder portfolio model by using genetic algorithm

The aim of this paper is to provide a multi-objective fuzzy model to optimize shareholders portfolio by genetic approaches. To achieve this goal , a portfolio optimization model is proposed with eleven objective function to maximize ROA, ROE, net profit margin, operating profit margin, earnings per share (EPS), the price-to-earnings ratio per share (P/E), rate of income growth, net profit growth rate, earnings per share growth rate and minimize business risk, financial risk and six restriction. In this study, fuzzy AHP approach was used to determine the fuzzy weight of goals. Jimenez method was used to consider the fuzzy values in the research model according to the fuzzy weights obtained by AHP methods output. Finally, a genetic algorithm was used to solve the proposed model. Developed toolbox of Mat lab 2016 was used for this purpose. The proposed model in this research was implemented in 30 companies listed in the Tehran Stock Exchange and optimal portfolio was determined for different amounts of alpha in Jimenez method.