A risk-return model of group decision making in investment fund

Investment funds serve as a popular tool for investors in portfolio selection problems. They are operated by experts with special knowledge and experience. In this paper, return, risk and transaction costs are the main objectives concerned in our portfolio selection model. First, we have aggregated the judgments of objectives and weights given by a group of experts to a group consensus judgments with relative entropy method; Second, we construct the hierarchical goal programming model, which can be translated into two linear programming models which are equivalent; last, a numerical example is given.