Sustainable Fuzzy Portfolio Selection Concerning Multi-Objective Risk Attitudes in Group Decision

Yin-Yin Huang, Ruey-Chyn Tsaur () and Nei-Chin Huang
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Yin-Yin Huang: School of Economics and Management, Nanchang Vocational University, 308 Provincial Road, Anyi County, Nanchang 330500, China
Ruey-Chyn Tsaur: Department of Management Sciences, Tamkang University, No. 151, Yingzhuan Road, Tamsui District, New Taipei City 25137, Taiwan
Nei-Chin Huang: Department of Management Sciences, Tamkang University, No. 151, Yingzhuan Road, Tamsui District, New Taipei City 25137, Taiwan

Mathematics, 2022, vol. 10, issue 18, 1-15

Abstract: Fuzzy portfolio selection has resulted in many researchers to focus on this field. Based on the risk attitudes, this study discusses the risk attitudes in a decision group for portfolio selection. Therefore, we adopt the risk attitudes to describe the experts’ risk preferences and subjective judgments, and then we suppose that the risk seeker considers a higher return for an excess investment based on the selected guaranteed rate of return; the risk averter considers a shortage in investment for the securities whose return rates are smaller than the selected guaranteed rate of return; and finally, the risk neutral pursues the regular return rate. In order to solve the multi-objective return rate functions under the corresponding investment risks, the SMART-ROC weighting method is used to hybridize the multi-objective programming model to a linear programming model for solving the portfolio selection. Finally, we illustrate a numerical example and two risk scenarios to show the optimal portfolio selection under different investment risks. The results show that the proposed model can obtain a more robust portfolio than the compared models under different risk priorities in a decision group.

Keywords: fuzzy portfolio model; guaranteed return rates; risk-attitude; multi-objective function; SMART-ROC (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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