Multi-objective imprecise programming for financial portfolio selection with fuzzy returns

作者：

Highlights：

• A multi-objective portfolio selection approach involving fuzzy parameters is introduced.

• Subjectivity of human thought is considered by using fuzzy sets theory and satisfaction functions.

• Allowing the investor to consider several conflicting and imprecise objectives simultaneously.

• A reasonable manner for modelling explicitly the investor's preferences in portfolio selection.

• Real application to financial portfolio selection within the Tunisian stock exchange market.

摘要

•A multi-objective portfolio selection approach involving fuzzy parameters is introduced.•Subjectivity of human thought is considered by using fuzzy sets theory and satisfaction functions.•Allowing the investor to consider several conflicting and imprecise objectives simultaneously.•A reasonable manner for modelling explicitly the investor's preferences in portfolio selection.•Real application to financial portfolio selection within the Tunisian stock exchange market.

论文关键词：Financial portfolio selection,Goal programming,Investor's preferences,Satisfaction functions,Possibility theory,Fuzzy returns

论文评审过程：Received 19 January 2019, Revised 14 May 2019, Accepted 11 July 2019, Available online 12 July 2019, Version of Record 25 July 2019.

论文官网地址：https://doi.org/10.1016/j.eswa.2019.07.027