Skip to main content

Research Repository

Advanced Search

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

He, Fang; Qu, Rong; John, Robert

Authors

Fang He

Profile Image

RONG QU rong.qu@nottingham.ac.uk
Associate Professor

Robert John robert.john@nottingham.ac.uk



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.

Publication Date May 29, 2015
Peer Reviewed Peer Reviewed
APA6 Citation He, F., Qu, R., & John, R. (2015). A compromise based fuzzy goal programming approach with satisfaction function for multi-objective portfolio optimisation
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
Copyright Statement Copyright information regarding this work can be found at the following address: http://eprints.nottingh.../end_user_agreement.pdf
Additional Information ISBN: 9780993244001 ;
Paper doi: 10.7148/2015-0418

Files

0418-simo_ECMS2015_0086.pdf (802 Kb)
PDF

Copyright Statement
Copyright information regarding this work can be found at the following address: http://eprints.nottingham.ac.uk/end_user_agreement.pdf





You might also like



Downloadable Citations

;