A fuzzy goal programming approach to portfolio selection

A fuzzy goal programming approach to portfolio selection

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Article ID: iaor20021776
Country: Netherlands
Volume: 133
Issue: 2
Start Page Number: 287
End Page Number: 297
Publication Date: Sep 2001
Journal: European Journal of Operational Research
Authors: , ,
Keywords: programming: goal
Abstract:

Portfolio selection is a usual multiobjective problem. This paper will try to deal with the optimum portfolio for a private investor, taking into account three criteria: return, risk and liquidity. These objectives, in general, are not crisp from the point of view of the investor, so we will deal with them in fuzzy terms. The problem formulation is a goal programming (G.P.) one, where the goals and the constraints are fuzzy. We will apply a fuzzy G.P. approach to the above problem to obtain a solution. Then, we will offer the investor help in handling the results.

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