A novel approach to incorporate investor’s preference in fuzzy multi-objective portfolio selection problem using credibility measure

作者：

Highlights：

• A new method is proposed to include investor’s preferences in portfolio models.

• Four new portfolio models are formulated in the credibilistic environment.

• Preference of return and illiquidity distributions are given as LR-fuzzy numbers.

• Deviation among target and achieved distributions are found using Cross-entropy.

• Monthly data of NSE stocks is used to compare the models for their performance.

摘要

•A new method is proposed to include investor’s preferences in portfolio models.•Four new portfolio models are formulated in the credibilistic environment.•Preference of return and illiquidity distributions are given as LR-fuzzy numbers.•Deviation among target and achieved distributions are found using Cross-entropy.•Monthly data of NSE stocks is used to compare the models for their performance.

论文关键词：Portfolio optimization,Investor preference,Credibility measure,LR fuzzy numbers,Multi-objective genetic algorithms

论文评审过程：Received 30 November 2021, Revised 4 May 2022, Accepted 13 August 2022, Available online 20 August 2022, Version of Record 14 September 2022.

论文官网地址：https://doi.org/10.1016/j.eswa.2022.118583