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

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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.

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Authors and Affiliations

  1. Faculté des Sciences Economiques et de Gestion de Sfax, 3018, Sfax, Tunisia

    Laila Messaoudi & Abdelwaheb Rebai

  2. College of Business and Economics, Qatar University, PO Box 2713, Doha, Qatar

    Belaid Aouni

Authors
  1. Laila Messaoudi
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  2. Belaid Aouni
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  3. Abdelwaheb Rebai
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Correspondence to Belaid Aouni.

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Messaoudi, L., Aouni, B. & Rebai, A. Fuzzy chance-constrained goal programming model for multi-attribute financial portfolio selection. Ann Oper Res 251, 193–204 (2017). https://doi.org/10.1007/s10479-015-1937-y

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  • DOI: https://doi.org/10.1007/s10479-015-1937-y

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