Multiobjective credibilistic portfolio selection model with fuzzy chance-constraints

Authors:
Pankaj Gupta;Masahiro Inuiguchi;Mukesh Kumar Mehlawat;Garima Mittal
Affiliations:
Department of Operational Research, University of Delhi, Delhi, India;Department of Systems Innovation, Graduate School of Engineering Science, Osaka University, Japan;Department of Decision Sciences, Apeejay School of Management, Dwarka, New Delhi, India;Department of Operational Research, University of Delhi, Delhi, India
Venue:
Information Sciences: an International Journal
Year:
2013

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Abstract

In this paper, we propose a multiobjective credibilistic model with fuzzy chance constraints of the portfolio selection problem. The key financial criteria used are short-term return, long-term return, risk and liquidity. The model generates portfolios which are optimal to the extent of achieving the highest credibility values for the objective functions. The problem is solved using a hybrid intelligent algorithm that integrates fuzzy simulation with a real-coded genetic algorithm. The approach adopted here has advantage of handling the multiobjective portfolio selection problem where fuzzy parameters are characterized by general functional forms. Numerical examples are provided to demonstrate effectiveness of the solution approach and efficiency of the model.