Article ID: | iaor2014276 |
Volume: | 7 |
Issue: | 8 |
Start Page Number: | 1765 |
End Page Number: | 1791 |
Publication Date: | Dec 2013 |
Journal: | Optimization Letters |
Authors: | Gupta Pankaj, Mehlawat Mukesh, Mittal Garima |
Keywords: | programming: goal |
In this paper, we propose a credibilistic framework for portfolio selection problem using an expected value multiobjective model with fuzzy parameters. We consider short term return, long term return, risk and liquidity as key financial criteria. A solution procedure comprising fuzzy goal programming and fuzzy simulation based real‐coded genetic algorithm is developed to solve the model. The proposed solution approach is considered advantageous particularly for the cases where the fuzzy parameters of the problem may assume any general functional form. An empirical study is included to illustrate the usefulness of the proposed model and solution approach in real‐world applications of portfolio selection.