A compromise based fuzzy goal programming approach with satisfaction function for multi-objective portfolio optimisation
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 selecti...
| Main Authors: | , , |
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| Format: | Conference or Workshop Item |
| Published: |
2015
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| Online Access: | https://eprints.nottingham.ac.uk/30215/ |
| _version_ | 1848793943557275648 |
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| author | He, Fang Qu, Rong John, Robert |
| author_facet | He, Fang Qu, Rong John, Robert |
| author_sort | He, Fang |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T19:08:20Z |
| format | Conference or Workshop Item |
| id | nottingham-30215 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| last_indexed | 2025-11-14T19:08:20Z |
| publishDate | 2015 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-302152020-05-04T17:07:50Z https://eprints.nottingham.ac.uk/30215/ A compromise based fuzzy goal programming approach with satisfaction function for multi-objective portfolio optimisation He, Fang Qu, Rong John, Robert 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. 2015-05-29 Conference or Workshop Item PeerReviewed He, Fang, 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. http://www.scs-europe.net/dlib/2015/ecms2015acceptedpapers/0418-simo_ECMS2015_0086.pdf |
| spellingShingle | He, Fang Qu, Rong John, Robert A compromise based fuzzy goal programming approach with satisfaction function for multi-objective portfolio optimisation |
| title | A compromise based fuzzy goal programming approach with satisfaction function for multi-objective portfolio optimisation |
| title_full | A compromise based fuzzy goal programming approach with satisfaction function for multi-objective portfolio optimisation |
| title_fullStr | A compromise based fuzzy goal programming approach with satisfaction function for multi-objective portfolio optimisation |
| title_full_unstemmed | A compromise based fuzzy goal programming approach with satisfaction function for multi-objective portfolio optimisation |
| title_short | A compromise based fuzzy goal programming approach with satisfaction function for multi-objective portfolio optimisation |
| title_sort | compromise based fuzzy goal programming approach with satisfaction function for multi-objective portfolio optimisation |
| url | https://eprints.nottingham.ac.uk/30215/ https://eprints.nottingham.ac.uk/30215/ |