Journal
ANNALS OF OPERATIONS RESEARCH
Volume 251, Issue 1-2, Pages 193-204Publisher
SPRINGER
DOI: 10.1007/s10479-015-1937-y
Keywords
Stochastic programming; Fuzzy goal programming; Portfolio selection; Fuzzy preferences
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The aim of this paper is to propose a fuzzy chance constrained goal programming model for solving a multi-attribute financial portfolio selection problem under two types of uncertainty namely randomness and fuzziness. The chance-constrained goals are considered as random variables. The obtained portfolio through this model is the portfolio of the best compromise where the financial decision-maker was asked tomake tradeoffs among conflicting and incommensurable attributes such as the expected return, risk and the earning price ratio. The proposed model has been applied to the Tunisian stock exchange market for the period July 2003 to December 2007.
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