Digital Library of the European Council for Modelling and Simulation

Title:	A Compromise Based Fuzzy Goal Programming Approach With Satisfaction Function For Multi-Objective Portfolio Optimisation
Authors:	Fang He, Rong Qu, Robert John
Published in:	(2015).ECMS 2015 Proceedings edited by: Valeri M. Mladenov, Grisha Spasov, Petia Georgieva, Galidiya Petrova, European Council for Modeling and Simulation. doi:10.7148/2015 ISBN: 978-0-9932440-0-1 29^th European Conference on Modelling and Simulation, Albena (Varna), Bulgaria, May 26^th – 29^th, 2015
Citation format:	Fang He, Rong Qu, Robert John (2015). A Compromise Based Fuzzy Goal Programming Approach With Satisfaction Function For Multi-Objective Portfolio Optimisation, ECMS 2015 Proceedings edited by: Valeri M. Mladenov, Petia Georgieva, Grisha Spasov, Galidiya Petrova  European Council for Modeling and Simulation. doi:10.7148/2015-0418
DOI:	http://dx.doi.org/10.7148/2015-0418
Abstract:	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.
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