A fuzzy bi-objective mathematical model for optimum portfolio selection by considering inflation rate effects

Abstract

Selecting and scheduling of project portfolios from a given set of investment proposals is one of the most important problems for which managers take several aspects into consideration. Inflation rate as one of these aspects is inherently uncertain, and because of this, various inflation rates can cause risky environments. Since risk can be decision driver for a proper selection, the purpose of this paper is fixed to minimize the risk and maximize the projects rate of return as two conflict objectives by considering inflation rate effects. A bi-objective mathematical programming model with fuzzy parameters is developed and well-known NSGA-II is applied to solve the developed model. Pareto plot of two conflict objectives helps decision maker (DM) to choose the best solution based on DM’s acceptable risk level. Moreover, the proposed model makes the project portfolio selection process more effective with developing a novel mathematical programming by sharing limited available budgets and resources. Finally, numerical results indicate the effectiveness of the proposed model with consideration the inflation rate effects on selecting project portfolios.