Multi-objective portfolio selection model with fuzzy random returns and a compromise approach-based genetic algorithm

Authors:
Jun Li;Jiuping Xu
Affiliations:
School of Management and Economics, University of Electronic Science and Technology of China, Chengdu 610054, PR China;Uncertainty Decision-Making Laboratory, Sichuan University, Chengdu 610064, PR China
Venue:
Information Sciences: an International Journal
Year:
2013

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Abstract

This paper addresses the multi-objective portfolio selection model with fuzzy random returns for investors by studying three criteria: return, risk and liquidity. In addition, securities historical data, experts' opinions and judgements and investors' different attitudes are considered in the portfolio selection process, such that the investor's individual preference is reflected by an optimistic-pessimistic parameter @l. To avoid the difficulty of evaluating a large set of efficient solutions and to ensure the selection of the best solution, a compromise approach-based genetic algorithm has been designed to solve the proposed model. In addition, a numerical example is presented to illustrate the proposed algorithm.