سيد سينا توكلي مهرام نژاد

Portfolio optimization is a classic issue in financial literature, established by the research of Harry Markowitz. To date, various studies and methods have been proposed for portfolio optimization and construction, each with different strengths and weaknesses. selecting the most suitable method for portfolio construction has always been one of the main goals of investors, as having a sound strategy increases the likelihood of achieving investment goals and enhances the profitability of the portfolio. One of the most important aspects in portfolio construction is considering uncertainty in the model. Therefore, this study aims to enhance the final model by incorporating one approach to uncertainty in portfolio optimization, specifically fuzzy credibility uncertainty with a Z-number approach. First, a comprehensive review of the literature is conducted, focusing on optimization in investment models. Based on the reviewed articles, the conditional value at risk (CVaR) model with a Z-number approach is selected for analysis. To validate the results of the proposed model, fundamental analysis is used to select cryptocurrencies in the crypto market. Since financial markets do not always follow consistent trends and are influenced by natural, political, or other factors, creating uncertainty in returns seems inevitable. Additionally, in the fuzzy uncertainty method, there is insufficient expert confidence regarding returns. Therefore, the Z-number approach is used to obtain a suitable estimate of cryptocurrency returns. The performance of the proposed model, considering the mentioned factors and using data from selected cryptocurrencies in the crypto market over a one-year period from January 2023 to the end of December 2023, is eva‎luated. The results show that the portfolio risk is reduced compared to the conditional value at risk (CVaR) model when using the proposed model, demonstrating the efficiency of this research in investment strategy.

انتخاب سبد سرمايه‌گذاري , نظريه اعتبار فازي , عدم قطعيت فازي , نظريه اعداد Z , سنجه‌هاي ريسك , علم‌سنجي

Portfolio optimization , Fuzzy credibility theory , Fuzzy uncertainty , Z-number theory , Risk measures , Scientometrics

Seyed Sina Tavakoli Mahram Nejad

Seyed Sina Tavakoli Mahram Nejad