How to cite this paper
Zarezade, R., Ghousi, R., Mohammadi, E & Ghanbari, H. (2025). Fuzzy portfolio optimization using conditional drawdown at risk: Empirical evidence on selective companies in the Tehran Stock Exchange.Accounting, 11(2), 131-144.
Refrences
Ammar, E., & Khalifa, H. A. (2003). Fuzzy portfolio optimization is a quadratic programming approach. Chaos, Solitons & Fractals, 18(5), 1045-1054.
Ammar, E. E. (2008). On solutions of fuzzy random multiobjective quadratic programming with applications in a portfolio problem. Information Sciences, 178(2), 468-484.
Björk, K.-M. (2009). An analytical solution to a fuzzy economic order quantity problem. International journal of approximate reasoning, 50(3), 485-493.
Chekhlov, A., Uryasev, S., & Zabarankin, M. (2004). Portfolio optimization with drawdown constraints. In Supply chain and finance (pp. 209-228). World Scientific.
Chen, L.-H., & Huang, L. (2009). Portfolio optimization of equity mutual funds with fuzzy return rates and risks. Expert Systems with Applications, 36(2), 3720-3727.
Chen, S.-P. (2004). Parametric nonlinear programming for analyzing fuzzy queues with finite capacity. European Journal of Operational Research, 157(2), 429-438.
Eskorouchi, A., Mohammadi, E., & Sadjadi, S. J. (2022). Robust Portfolio Optimization based on Evidence Theory. Scientia Iranica.
Fei, W. (2007). Optimal consumption and portfolio choice with ambiguity and anticipation. Information Sciences, 177(23), 5178-5190.
Ghanbari, H., Safari, M., Ghousi, R., Mohammadi, E., & Nakharutai, N. (2023). Bibliometric analysis of risk measures for portfolio optimization. Accounting, 9(2), 95-108.
Gupta, P., Mehlawat, M. K., & Saxena, A. (2008). Asset portfolio optimization using fuzzy mathematical programming. Information Sciences, 178(6), 1734-1755.
Huang, S.-H., Miao, Y.-H., & Hsiao, Y.-T. (2021). Novel deep reinforcement algorithm with adaptive sampling strategy for continuous portfolio optimization. IEEE Access, 9, 77371-77385.
Khosravi, A., Sadjadi, S., & Ghanbari, H. (2024). A bibliometric analysis and visualization of the scientific publications on multi-period portfolio optimization: From the current status to future directions. Accounting, 10(3), 107-120.
Konno, H., & Yamazaki, H. (1991). Mean-absolute deviation portfolio optimization model and its applications to the Tokyo stock market. Management Science, 37(5), 519-531.
Krokhmal, P., Uryasev, S., & Zrazhevsky, G. (2005). Numerical comparison of conditional value-at-risk and conditional drawdown-at-risk approaches: application to hedge funds. In Applications of stochastic programming (pp. 609-631). SIAM.
Li, C., Wu, Y., Lu, Z., Wang, J., & Hu, Y. (2020). A multiperiod multiobjective portfolio selection model with fuzzy random returns for large-scale securities data. IEEE Transactions on Fuzzy Systems, 29(1), 59-74.
Liu, S.-T. (2005). Fuzzy measures for fuzzy signal-to-noise ratios.
Markowitz, H. (1952). Modern portfolio theory. Journal of Finance, 7(11), 77-91.
Markowitz Harry, M. (1959). Portfolio selection: Efficient diversification of investments. Cowles Foundation Monograph, 16.
Perold, A. F. (1984). Large-scale portfolio optimization. Management Science, 30(10), 1143-1160.
Rockafellar, R. T., & Uryasev, S. (2000). Optimization of conditional value-at-risk. Journal of Risk, 2, 21-42.
Sakawa, M., Utaka, J., Inniguchi, I., Shiromaru, I., Suginohara, N., & Inoue, T. (1993). Hot parts operating schedule of gas turbines by genetic algorithms and fuzzy satisficing methods. Proceedings of 1993 International Conference on Neural Networks (IJCNN-93-Nagoya, Japan),
Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The journal of finance, 19(3), 425-442.
Sharpe, W. F. (1967). A linear programming algorithm for mutual fund portfolio selection. Management Science, 13(7), 499-510.
Sharpe, W. F. (1971). A linear programming approximation for the general portfolio analysis problem. Journal of Financial and Quantitative Analysis, 6(5), 1263-1275.
Stone, B. K. (1973). A linear programming formulation of the general portfolio selection problem. Journal of Financial and Quantitative Analysis, 8(4), 621-636.
Vercher, E. (2008). Portfolios with fuzzy returns: selection strategies based on semi-infinite programming. Journal of computational and applied mathematics, 217(2), 381-393.
Vijayan, T., & Kumaran, M. (2009). Fuzzy economic order time models with random demand. International journal of approximate reasoning, 50(3), 529-540.
Wu, M.-E., Syu, J.-H., Lin, J. C.-W., & Ho, J.-M. (2021). Effective fuzzy system for qualifying the characteristics of stocks by random trading. IEEE Transactions on Fuzzy Systems, 30(8), 3152-3165.
Zadeh, L. A. (1978). Fuzzy sets as a basis for a theory of possibility. Fuzzy sets and systems, 1(1), 3-28.
Zarezade, R., Ghousi, G., & Mohammadi, E. (2024). Spillover effects of volatility between the Chinese stock market and selected emerging economies in the Middle East: A conditional correlation analysis with portfolio optimization perspective. Accounting, 10(2), 97-106.
Zarezade, R., Ghousi, R., Mohammadi, E., & Ghanbari, H. (2024). Chance-constrained programming for Cryptocurrency portfolio optimization using Conditional Drawdown at Risk. Journal of Industrial and Systems Engineering, 16(2), 130-153.
Zimmerman, J. (1978). Topographic generation of residual circulation by oscillatory (tidal) currents. Geophysical & Astrophysical Fluid Dynamics, 11(1), 35-47.
Ammar, E. E. (2008). On solutions of fuzzy random multiobjective quadratic programming with applications in a portfolio problem. Information Sciences, 178(2), 468-484.
Björk, K.-M. (2009). An analytical solution to a fuzzy economic order quantity problem. International journal of approximate reasoning, 50(3), 485-493.
Chekhlov, A., Uryasev, S., & Zabarankin, M. (2004). Portfolio optimization with drawdown constraints. In Supply chain and finance (pp. 209-228). World Scientific.
Chen, L.-H., & Huang, L. (2009). Portfolio optimization of equity mutual funds with fuzzy return rates and risks. Expert Systems with Applications, 36(2), 3720-3727.
Chen, S.-P. (2004). Parametric nonlinear programming for analyzing fuzzy queues with finite capacity. European Journal of Operational Research, 157(2), 429-438.
Eskorouchi, A., Mohammadi, E., & Sadjadi, S. J. (2022). Robust Portfolio Optimization based on Evidence Theory. Scientia Iranica.
Fei, W. (2007). Optimal consumption and portfolio choice with ambiguity and anticipation. Information Sciences, 177(23), 5178-5190.
Ghanbari, H., Safari, M., Ghousi, R., Mohammadi, E., & Nakharutai, N. (2023). Bibliometric analysis of risk measures for portfolio optimization. Accounting, 9(2), 95-108.
Gupta, P., Mehlawat, M. K., & Saxena, A. (2008). Asset portfolio optimization using fuzzy mathematical programming. Information Sciences, 178(6), 1734-1755.
Huang, S.-H., Miao, Y.-H., & Hsiao, Y.-T. (2021). Novel deep reinforcement algorithm with adaptive sampling strategy for continuous portfolio optimization. IEEE Access, 9, 77371-77385.
Khosravi, A., Sadjadi, S., & Ghanbari, H. (2024). A bibliometric analysis and visualization of the scientific publications on multi-period portfolio optimization: From the current status to future directions. Accounting, 10(3), 107-120.
Konno, H., & Yamazaki, H. (1991). Mean-absolute deviation portfolio optimization model and its applications to the Tokyo stock market. Management Science, 37(5), 519-531.
Krokhmal, P., Uryasev, S., & Zrazhevsky, G. (2005). Numerical comparison of conditional value-at-risk and conditional drawdown-at-risk approaches: application to hedge funds. In Applications of stochastic programming (pp. 609-631). SIAM.
Li, C., Wu, Y., Lu, Z., Wang, J., & Hu, Y. (2020). A multiperiod multiobjective portfolio selection model with fuzzy random returns for large-scale securities data. IEEE Transactions on Fuzzy Systems, 29(1), 59-74.
Liu, S.-T. (2005). Fuzzy measures for fuzzy signal-to-noise ratios.
Markowitz, H. (1952). Modern portfolio theory. Journal of Finance, 7(11), 77-91.
Markowitz Harry, M. (1959). Portfolio selection: Efficient diversification of investments. Cowles Foundation Monograph, 16.
Perold, A. F. (1984). Large-scale portfolio optimization. Management Science, 30(10), 1143-1160.
Rockafellar, R. T., & Uryasev, S. (2000). Optimization of conditional value-at-risk. Journal of Risk, 2, 21-42.
Sakawa, M., Utaka, J., Inniguchi, I., Shiromaru, I., Suginohara, N., & Inoue, T. (1993). Hot parts operating schedule of gas turbines by genetic algorithms and fuzzy satisficing methods. Proceedings of 1993 International Conference on Neural Networks (IJCNN-93-Nagoya, Japan),
Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The journal of finance, 19(3), 425-442.
Sharpe, W. F. (1967). A linear programming algorithm for mutual fund portfolio selection. Management Science, 13(7), 499-510.
Sharpe, W. F. (1971). A linear programming approximation for the general portfolio analysis problem. Journal of Financial and Quantitative Analysis, 6(5), 1263-1275.
Stone, B. K. (1973). A linear programming formulation of the general portfolio selection problem. Journal of Financial and Quantitative Analysis, 8(4), 621-636.
Vercher, E. (2008). Portfolios with fuzzy returns: selection strategies based on semi-infinite programming. Journal of computational and applied mathematics, 217(2), 381-393.
Vijayan, T., & Kumaran, M. (2009). Fuzzy economic order time models with random demand. International journal of approximate reasoning, 50(3), 529-540.
Wu, M.-E., Syu, J.-H., Lin, J. C.-W., & Ho, J.-M. (2021). Effective fuzzy system for qualifying the characteristics of stocks by random trading. IEEE Transactions on Fuzzy Systems, 30(8), 3152-3165.
Zadeh, L. A. (1978). Fuzzy sets as a basis for a theory of possibility. Fuzzy sets and systems, 1(1), 3-28.
Zarezade, R., Ghousi, G., & Mohammadi, E. (2024). Spillover effects of volatility between the Chinese stock market and selected emerging economies in the Middle East: A conditional correlation analysis with portfolio optimization perspective. Accounting, 10(2), 97-106.
Zarezade, R., Ghousi, R., Mohammadi, E., & Ghanbari, H. (2024). Chance-constrained programming for Cryptocurrency portfolio optimization using Conditional Drawdown at Risk. Journal of Industrial and Systems Engineering, 16(2), 130-153.
Zimmerman, J. (1978). Topographic generation of residual circulation by oscillatory (tidal) currents. Geophysical & Astrophysical Fluid Dynamics, 11(1), 35-47.