A compromise based fuzzy goal programming approach with satisfaction function for multi-objective portfolio optimisation
(2015)
Presentation / Conference Contribution
He, F., Qu, R., & John, R. (2015). A compromise based fuzzy goal programming approach with satisfaction function for multi-objective portfolio optimisation.
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 an... Read More about A compromise based fuzzy goal programming approach with satisfaction function for multi-objective portfolio optimisation.