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- Title
Sustainable Fuzzy Portfolio Selection Concerning Multi-Objective Risk Attitudes in Group Decision.
- Authors
Huang, Yin-Yin; Tsaur, Ruey-Chyn; Huang, Nei-Chin
- 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.
- Publication
Mathematics (2227-7390), 2022, Vol 10, Issue 18, p3304
- ISSN
2227-7390
- Publication type
Article
- DOI
10.3390/math10183304