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

In this paper, a mathematical model for an extended multi-objective portfolio selection (EMOPS) problem is explored with liquidity considered as another objective function besides the risk and return. The model is mathematically formulated in an uncertain environment. The concerned uncertainty is de...

Full description

Saved in:
Bibliographic Details
Published inComputers (Basel) Vol. 11; no. 10; p. 144
Main Author Kumar, Pavan
Format Journal Article
LanguageEnglish
Published Basel MDPI AG 01.10.2022
Subjects
Algorithms
Analysis
compromise solution
Data envelopment analysis
Decision making
fuzzy efficient solution
Fuzzy sets
Linear programming
Mathematical analysis
Mathematical models
membership function
Methods
Optimization
portfolio
Portfolio management
Uncertainty (Information theory)
weighted Tchebycheff method
India
Online AccessGet full text

Cover

More Information
Summary:In this paper, a mathematical model for an extended multi-objective portfolio selection (EMOPS) problem is explored with liquidity considered as another objective function besides the risk and return. The model is mathematically formulated in an uncertain environment. The concerned uncertainty is dealt with by employing the fuzzy numbers in the risk matrix and return. While the fuzzy EMOPS model is converted into the corresponding deterministic case based on the α—level sets of the fuzzy numbers, a weighted Tchebycheff method is implemented by defining relative weights and ideal targets. The merit of the suggested method is the applicability in many real-world situations. At the end, some numerical illustration is exhibited for the utility of the suggested EMOPS problem. Finally, it is concluded that the suggested method is simple to learn and to implement in real-life situations for the decision maker.
ISSN:2073-431X
2073-431X
DOI:10.3390/computers11100144