A novel portfolio selection model based on fuzzy goal programming with different importance and priorities

作者：

Highlights：

• A novel fuzzy portfolio selection approach is proposed.

• This approach is based on the fuzzy goal programming techniques.

• Portfolio return, risk and beta coefficient are defined as the fuzzy goals.

• This approach allows defining certain importance and priority among fuzzy goals.

• The proposed approach considers the risk preferences of investor and market trend.

摘要

•A novel fuzzy portfolio selection approach is proposed.•This approach is based on the fuzzy goal programming techniques.•Portfolio return, risk and beta coefficient are defined as the fuzzy goals.•This approach allows defining certain importance and priority among fuzzy goals.•The proposed approach considers the risk preferences of investor and market trend.

论文关键词：Multiple objective programming,Fuzzy goal programming,Portfolio selection model,Risk preferences of investors,Capital Asset Pricing Model

论文评审过程：Available online 4 May 2015, Version of Record 31 May 2015.

论文官网地址：https://doi.org/10.1016/j.eswa.2015.04.047