Annals of Operations Research

, Volume 251, Issue 1–2, pp 193–204 | Cite as

Fuzzy chance-constrained goal programming model for multi-attribute financial portfolio selection

Article

Abstract

The aim of this paper is to propose a fuzzy chance constrained goal programming model for solving a multi-attribute financial portfolio selection problem under two types of uncertainty namely randomness and fuzziness. The chance-constrained goals are considered as random variables. The obtained portfolio through this model is the portfolio of the best compromise where the financial decision-maker was asked to make tradeoffs among conflicting and incommensurable attributes such as the expected return, risk and the earning price ratio. The proposed model has been applied to the Tunisian stock exchange market for the period July 2003 to December 2007.

Keywords

Stochastic programming Fuzzy goal programming Portfolio selection Fuzzy preferences 

References

  1. Alinezhad, A., Zohrehbandianb, M., Kianc, M., Ekhtiaric, M., & Esfandiari, N. (2011). Extension of portfolio selection problem with fuzzy goal programming: A fuzzy allocated portfolio approach. Journal of Optimization in Industrial Engineering, 4, 69–76.Google Scholar
  2. Aouni, B. (2009). Multi-attribute portfolio selection: New perspectives. Information Systems and Operational Research Journal, 47(1), 1–4.CrossRefGoogle Scholar
  3. Aouni, B. (2010). Portfolio selection through the goal programming model: An overview. Journal of Financial Decision Making, 6(2), 3–15.Google Scholar
  4. Aouni, B., Ben Abdelaziz, F., & Martel, J. M. (2005). Decision maker’s preferences modelling in the stochastic goal programming. European Journal of Operational Research, 162, 610–618.CrossRefGoogle Scholar
  5. Aouni, B., Colapinto, C., & La Torre, D. (2014). Portfolio management through the goal programming model: Current state-of-the-art. European Journal of Operational Research, 234, 536–545.CrossRefGoogle Scholar
  6. Arenas Parra, M., Bilbao Terol, A., & Rodríguez Uria, M. V. (2001). A fuzzy goal programming approach to portfolio selection. European Journal of Operational Research, 133, 287–297.CrossRefGoogle Scholar
  7. Ben Abdelaziz, F., Aouni, B., & El Fayedh, R. (2007). Multi-objective stochastic programming for portfolio selection. European Journal of Operational Research, 177(3), 1811–1823.CrossRefGoogle Scholar
  8. Ben Abdelaziz, F., El Fayedh, R., & Rao, A. (2009). A discrete stochastic goal program for portfolio selection: The case of United Arab Emirates equity market. INFOR Information Systems and Operational Research, 47, 5–13.CrossRefGoogle Scholar
  9. Golany, B., & Kress, M. (1993). A multicriteria evaluation of methods for obtaining weights from ratio-scale matrices. European Journal of Operational Research, 69, 210–220.CrossRefGoogle Scholar
  10. Hulsurkar, S., Biswal, M. P., & Sinha, S. B. (1997). Fuzzy programming approach to multi-objective stochastic linear programming problems. Fuzzy Sets and Systems, 88, 173–181.CrossRefGoogle Scholar
  11. Jones, D.,Tamiz, M., & Ries, J. (2010). New developments in multi-objective and goal programming. In Lecture notes in economics and mathematical systems (1st Edition). Springer.Google Scholar
  12. Lucas, A., & Klaassen, P. (1998). Extreme returns, downside risk, and optimal asset allocation. Journal of Portfolio Management, 25, 71–79.CrossRefGoogle Scholar
  13. Mansour, N., Rebai, A., & et Aouni, B. (2007). Portfolio selection through imprecise goal programming model: Integration of the manager’s preferences. Journal of Industrial Engineering International, 3, 1–8.Google Scholar
  14. Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7, 77–91.Google Scholar
  15. Pal, B. B., Moitra, B. N., & Maulik, U. A. (2003). Goal programming procedure for fuzzy multiobjective linear fractional programming problem. Fuzzy Sets and System, 139, 395–405.CrossRefGoogle Scholar
  16. Szego, G. (2002). Measures of risk. Journal of Banking and Finance, 26, 1253–1272.CrossRefGoogle Scholar
  17. Tamiz, M., Hasham, R., Jones, D. F., Hesni, B., & Fargher, E. K. (1996). A two staged goal programming model for portfolio selection. In M. Tamiz (Ed.), Lecture notes in economics and mathematical systems (Vol. 432). Berlin: Springer.Google Scholar
  18. Tamiz, M., Jones, D. F., & et El-Darzi, E. (1995). A review of goal programming and its applications. Annals of Operations Research, 58, 39–53.CrossRefGoogle Scholar
  19. Tanino, T. (1984). Fuzzy preference orderings in group decision making. Fuzzy Sets Systems, 12, 117–131.CrossRefGoogle Scholar
  20. Xu, Z. S. (2004). Goal programming models for obtaining the priority vector of incomplete fuzzy preference relation. International Journal of Approximate Reasoning, 36, 261–270.CrossRefGoogle Scholar
  21. Xu, Y., Da, Q., & et Liu, L. (2009). Normalizing rank aggregation method for priority of a fuzzy preference relation and its effectiveness. International Journal of Approximate Reasoning, 50, 1287–1297.CrossRefGoogle Scholar
  22. Zimmermann, H. J. (1978). Fuzzy programming and linear programming with several objective functions. Fuzzy Sets and Systems, 1, 45–55.CrossRefGoogle Scholar

Copyright information

© Springer Science+Business Media New York 2015

Authors and Affiliations

  • Laila Messaoudi
    • 1
  • Belaid Aouni
    • 2
  • Abdelwaheb Rebai
    • 1
  1. 1.Faculté des Sciences Economiques et de Gestion de SfaxSfaxTunisia
  2. 2.College of Business and EconomicsQatar UniversityDohaQatar

Personalised recommendations