Journal
OPTIMIZATION LETTERS
Volume 7, Issue 8, Pages 1765-1791Publisher
SPRINGER HEIDELBERG
DOI: 10.1007/s11590-012-0521-5
Keywords
Fuzzy portfolio selection; Expected value model; Multiobjective programming; Real-coded genetic algorithm; Fuzzy simulation
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In this paper, we propose a credibilistic framework for portfolio selection problem using an expected value multiobjective model with fuzzy parameters. We consider short term return, long term return, risk and liquidity as key financial criteria. A solution procedure comprising fuzzy goal programming and fuzzy simulation based real-coded genetic algorithm is developed to solve the model. The proposed solution approach is considered advantageous particularly for the cases where the fuzzy parameters of the problem may assume any general functional form. An empirical study is included to illustrate the usefulness of the proposed model and solution approach in real-world applications of portfolio selection.
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