A fuzzy interactive approach for optimal portfolio management

Portfolio management problem is a multiobjective optimization problem in which some or all objectives are conflicting to each other. In real life, practitioners (investors) have an aim to choose his/her optimal portfolio with individual preferences for each objective. In this paper, a fuzzy interactive method is used to solve portfolio management problem. Using this approach, firstly, fuzzy goal is defined for each objective, keeping investor preferences in view, and then these fuzzy goals are aggregated using product operator. After that, the resultant problem is solved using a real coded genetic algorithm. An illustrated example is also provided.