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

He, Fang; Qu, Rong; John, Robert

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Authors

Fang He

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RONG QU rong.qu@nottingham.ac.uk
Professor of Computer Science

Robert John



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. (2015). A compromise based fuzzy goal programming approach with satisfaction function for multi-objective portfolio optimisation.

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 Mar 29, 2024
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

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