Fuzzy chance-constrained goal programming model for multi-attribute financial portfolio selection

Laila Messaoudi (), Belaid Aouni () and Abdelwaheb Rebai ()
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Laila Messaoudi: Faculté des Sciences Economiques et de Gestion de Sfax
Belaid Aouni: Qatar University
Abdelwaheb Rebai: Faculté des Sciences Economiques et de Gestion de Sfax

Annals of Operations Research, 2017, vol. 251, issue 1, No 12, 193-204

Abstract: Abstract 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 to make 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.

Keywords: Stochastic programming; Fuzzy goal programming; Portfolio selection; Fuzzy preferences (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s10479-015-1937-y

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