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A fuzzy goal programming approach to portfolio selection. (English) Zbl 0992.90085

Summary: Portfolio selection is a usual multiobjective problem. This paper will try to deal with the optimum portfolio for a private investor, taking into account three criteria: return, risk and liquidity. These objectives, in general, are not crisp from the point of view of the investor, so we will deal with them in fuzzy terms. The problem formulation is a goal programming (G.P.) one, where the goals and the constraints are fuzzy. We will apply a fuzzy G.P. approach to the above problem to obtain a solution. Then, we will offer the investor help in handling the results.

MSC:

90C70 Fuzzy and other nonstochastic uncertainty mathematical programming
91G10 Portfolio theory
90C29 Multi-objective and goal programming

Software:

Matlab
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References:

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