Interactive decision system in stochastic multiobjective portfolio selection

Some investors pursuing a high return at the relatively high risk of losing a part of their money do not always select a preferred portfolio from among the so-called ‘mean-variance efficient frontier’ provided by Markowitz. Chue and Nagasawa constructed their own investor model based in an ‘α-risk permission maximum return portfolio’ and proposed an interactive portfolio selection system for selecting a preferred portfolio from the set of candidate portfolios. This paper extends the system to the case when the mean and the variance of return of securities have several scenarios with known occurrence probabilities.