A fuzzy stochastic Goal Programming approach for solving portfolio selection problem

Abstract

Earlier works on Goal Programming models for portfolio selection problem under uncertainty did not utilize the combination of the different types of uncertainty for a given problem and they only assumed the existence of stochastic or fuzzy uncertainty: These models may be too restrictive in modeling of real life decision making problems where randomness and fuzziness are often coexist. In this paper, we develop a novel fuzzy goal programming model for solving a stochastic multi-objective portfolio selection problem. In this model, the fuzzy chance-constrained goals are described along with the imprecise importance relations among them. The developed model will be utilized to build a new portfolio selection model that considers the tradeoffs between expected return, Value-at-Risk (VaR), the price earning ratio and the flexibility of investor's preferences.