A compromise based fuzzy goal programming approach with satisfaction function for multi-objective portfolio optimisation

He, Fang; Qu, Rong; John, Robert

Abstract

In this paper we investigate a multi-objective portfolio selection model with three criteria: risk, return and liquidity for investors. Non-probabilistic uncertainty factors in the market, such as imprecision and vagueness of investors’ preference and judgement are simulated in the portfolio selection process. The liquidity of portfolio cannot be accurately predicted in the market, and thus is measured by fuzzy set theory. Invertors’ individual preference and judgement are cooperated in the decision making process by using satisfaction functions to measure the objectives. A compromise based goal programming approach is applied to find compromised solutions. By this approach, not only can we obtain quality solutions in a reasonable computational time, but also we can achieve a trade-off between the objectives according to investors’ preference and judgement to enable a better decision making. We analyse the portfolio strategies obtained by using the proposed simulation approach subject to different settings in the satisfaction functions.

Citation

He, F., Qu, R., & John, R. A compromise based fuzzy goal programming approach with satisfaction function for multi-objective portfolio optimisation. Presented at 29th European Conference on Modelling and Simulation ECMS 2015

• Conference Name: 29th European Conference on Modelling and Simulation ECMS 2015
• End Date: May 2, 2015
• Publication Date: May 29, 2015
• Deposit Date: Sep 23, 2015
• Publicly Available Date: Sep 23, 2015
• Peer Reviewed: Peer Reviewed
• Public URL: https://nottingham-repository.worktribe.com/output/751042
• Publisher URL: http://www.scs-europe.net/dlib/2015/ecms2015acceptedpapers/0418-simo_ECMS2015_0086.pdf
• Related Public URLs: http://www.scs-europe.net/conf/ecms2015/ecms2015proceedings.pdf
• Additional Information: ISBN: 9780993244001 ; ; Paper doi: 10.7148/2015-0418