Sustainable Fuzzy Portfolio Selection Concerning Multi-Objective Risk Attitudes in Group Decision

Abstract

Fuzzy portfolio selection has resulted in many researchers to focus on this field. Based on the risk attitudes, this study discusses the risk attitudes in a decision group for portfolio selection. Therefore, we adopt the risk attitudes to describe the experts’ risk preferences and subjective judgments, and then we suppose that the risk seeker considers a higher return for an excess investment based on the selected guaranteed rate of return; the risk averter considers a shortage in investment for the securities whose return rates are smaller than the selected guaranteed rate of return; and finally, the risk neutral pursues the regular return rate. In order to solve the multi-objective return rate functions under the corresponding investment risks, the SMART-ROC weighting method is used to hybridize the multi-objective programming model to a linear programming model for solving the portfolio selection. Finally, we illustrate a numerical example and two risk scenarios to show the optimal portfolio selection under different investment risks. The results show that the proposed model can obtain a more robust portfolio than the compared models under different risk priorities in a decision group.