Multi-objective Programming Model for Asset Portfolio Selection

Abstract

This paper presents a multi-objective programming model for the asset portfolio selection problem. Use the idea of fuzzy sets to set up the membership function of the objective function for providing the satisfaction degree to the return and risk of the portfolio. Then the approach is used to achieve the high test degree of each of the membership functions and abtain the satisfactary solution for the decision maker. Numerical examples are given to demonstrate the proposed approach.