A cloud theory-based multi-objective portfolio selection model with variable risk appetite

作者：

Highlights：

• A cloud theory-based multi-objective portfolio selection model is proposed.

• The crisp numerical characteristics of the cloud model theory are defined.

• The acceptance and rejection functions with variable risk appetite are constructed.

• A compromise programming approach is utilized to aggregate the objectives.

• Several schemes as per investors’ preferences regarding all objectives are devised.

摘要

•A cloud theory-based multi-objective portfolio selection model is proposed.•The crisp numerical characteristics of the cloud model theory are defined.•The acceptance and rejection functions with variable risk appetite are constructed.•A compromise programming approach is utilized to aggregate the objectives.•Several schemes as per investors’ preferences regarding all objectives are devised.

论文关键词：Portfolio selection,Multi-objective,Cloud model theory,Risk appetite,Compromise programming

论文评审过程：Received 29 April 2020, Revised 15 November 2020, Accepted 12 March 2021, Available online 18 March 2021, Version of Record 1 April 2021.

论文官网地址：https://doi.org/10.1016/j.eswa.2021.114911