A Fuzzy Goal Programming Model for Efficient Portfolio Selection

This paper considers a multi-objective portfolio selection problem imposed by gaining portfolio, divided yield, and risk control in an ambiguous investment environment, in which return and risk are characterized by probabilistic numbers. Based on the theory of possibility, a new multi-objective portfolio optimization model with portfolio, divided yield, and risk control is proposed, and then the proposed model is solved as a fuzzy goal programming model to fulfill aspiration level of each objective. Furthermore, numerical example of an efficient portfolio selection is provided to illustrate that the proposed model is versatile enough to be applicable to various unexpected conditions.