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A multi-objective portfolio selection problem with parameters as interval type fuzzy set

Author

Listed:
  • Jayanti Nath
  • Sanjoy Chhatri
  • Debasish Bhattacharya

Abstract

A multi-objective portfolio selection problem with fuzzy parameters is studied here based on the possibility concept of fuzzy set theory. Here, for a given degree of membership α of the fuzzy parameters, the problem has been reduced to an equivalent crisp problem. This reduced problem is then solved by the min-max goal programming (GP) method in one step. This approach gives the decision maker the flexibility to choose the solution of the problem for an assigned degree of satisfaction α and concomitant risk (1 - α), 0 ≤ α ≤ 1. Also, the investor can fix his/her priority among the objectives and compare the solutions for different values of α. The method of solution of the problem has been illustrated by constructing a portfolio selection problem based on real data collected from Bombay Stock Exchange (BSE), National Stock Exchange (NSE), http://www.moneycontrol.com, http://finance.yahoo.com, and http://screener.in, India.

Suggested Citation

  • Jayanti Nath & Sanjoy Chhatri & Debasish Bhattacharya, 2025. "A multi-objective portfolio selection problem with parameters as interval type fuzzy set," International Journal of Operational Research, Inderscience Enterprises Ltd, vol. 52(4), pages 455-489.
    • Handle: RePEc:ids:ijores:v:52:y:2025:i:4:p:455-489
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