A novel methodology for portfolio selection in fuzzy multi criteria environment using risk-benefit analysis and fractional stochastic

Abstract

This article proposes an efficient approach for solving portfolio type problems. It is highly suitable to help fund allocators and decision makers to set up appropriate portfolios for investors. Stock selection is based upon the risk benefits analysis using MADM approach in fuzzy environment. This sort of analysis allows decision makers to identify the list of acceptable portfolios where they can assign some portions of their asset to them. The purpose of this article is two folds; first, to introduce a methodology to select the list of stocks for investment purpose, and second, to employ a stochastic fractional programming model to assign money into selected stocks. This article proposes a hybrid methodology for finding an optimal or new optimal solution of the problem. This hybrid approach considers risks and benefits at the time of stocks prioritization. This is followed by solving a fractional programming to determine the percentages of the budget to be allocated to stocks while dealing with two sets of suitable and non-suitable stocks. For clarification purposes, a sample example problem is solved.

Solution of Extended Multi-Objective Portfolio Selection Problem in Uncertain Environment Using Weighted Tchebycheff Method

“…Several authors considered the fuzzy as well as intuitionistic fuzzy sets in PS models, for instance, Zhang et al [33], Zhou and Xu [34], Zhou et al [35], etc. Khalifa et al [36] suggested a novel solution methodology to deal with a PS problem in a fuzzy situation, where Dymova et al [37], Gong et al [38] and Mehrjerdi [39] dealt with a methodology for the PS problem using risk-benefit analysis in the fuzzy environment.…”