A novel portfolio selection model based on fuzzy goal programming with different importance and priorities
A novel fuzzy portfolio selection approach is proposed. This approach is based on the fuzzy goal programming techniques. Portfolio return, risk and beta coefficient are defined as the fuzzy goals. This approach allows defining certain importance and priority among fuzzy goals. The proposed approach considers the risk preferences of investor and market trend.
portfolio selection model fuzzy goal programming risk preferences of investors multiple objective programming capital asset pricing model