Title: A fuzzy goal programming approach for solving stochastic portfolio selection problem in a group decision-making context

Authors: Laila Messaoudi; Abdelwaheb Rebaï

Addresses: Faculté des Sciences Economiques et de Gestion de Sfax, FSEGS, B.P. N° 1088, Sfax 3018, Tunisia ' Faculté des Sciences Economiques et de Gestion de Sfax, FSEGS, B.P. N° 1088, Sfax 3018, Tunisia

Abstract: Earlier works on goal programming models for portfolio selection problem under uncertainty did not utilise the mixture 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 modelling of real life decision making problems where randomness and fuzziness are often mixed up together. In this paper, we develop a novel fuzzy goal programming model for solving a stochastic multi-objective portfolio selection problem by considering multiple future market scenarios. Most important decisions in stock market are made by groups of managers or experts whose preferences are often vague and cannot be estimated in exact numerical values. This paper proposes a new method which allocates different weights for decision maker group members to use linguistic terms in order to express their fuzzy preferences for individual judgments.

Keywords: stochastic programming; scenario generation; fuzzy goal programming; group decision making; portfolio selection; uncertainty; modelling; future market scenarios; stock markets; linguistic terms; fuzzy preferences; individual judgments.

DOI: 10.1504/IJADS.2014.060331

International Journal of Applied Decision Sciences, 2014 Vol.7 No.2, pp.208 - 221

Published online: 28 Jun 2014 *

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