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

He, Fang and Qu, Rong and John, Robert (2015) A compromise based fuzzy goal programming approach with satisfaction function for multi-objective portfolio optimisation. In: 29th European Conference on Modelling and Simulation ECMS 2015, May 26th - 29th, 2015, Albena (Varna), Bulgaria.

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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.

Item Type: Conference or Workshop Item (Paper)
Additional Information: ISBN: 9780993244001 ; Paper doi: 10.7148/2015-0418
Schools/Departments: University of Nottingham UK Campus > Faculty of Science > School of Computer Science
Related URLs:
URLURL Type
http://www.scs-europe.net/conf/ecms2015/ecms2015proceedings.pdfPublisher
Depositing User: John, Professor Robert
Date Deposited: 23 Sep 2015 14:39
Last Modified: 22 Sep 2016 00:02
URI: http://eprints.nottingham.ac.uk/id/eprint/30215

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