Fuzzy portfolio selection with non-financial goals: exploring the efficient frontier

In this work a fuzzy multi‐criteria model for portfolio selection is proposed which includes together with the classical financial risk‐return bi‐objective problem a new non‐financial criterion. The proposed model will allow the analyst to offer the investor not only the financially good solutions but also some alternative solutions. In fact, the investor will be allowed to introduce in the model information about how far he or she is willing to go from the financially efficient portfolios knowing about the financial cost of these alternative solutions. A numerical example is presented in order to illustrate the proposed model. The social responsibility of the portfolio is considered as an additional secondary non‐financial goal in the mean‐variance portfolio selection model. Social responsibility is by its nature a vague and imprecise concept and will be handled by means of fuzzy set tools.