Novel Fuzzy Multi-Attribute Decision Making Method for the Selection of Open Unit Trusts Under Uncertainty

Abstract

Investment decision making is a complex process. Important decision concerns the (pre)selection of potential investment instruments to compose an investment portfolio. Conscientious selection involves the application of quantitative multi-criteria procedures. The typical element of uncertainty (i.e. unstable return or investor’s vague preferences about the criteria importance) must be considered. This combination of the typical characteristics of investment on the capital market can be addressed by means of fuzzy multi-attribute decision making methods. These methods effectively quantify the vague elements by using fuzzy numbers. However, the applicability of a relevant method sufficiently depends on the actual investment decision making problem. This article focuses on open unit trusts because this market is recently becoming more popular in the Czech Republic. Unfortunately, under all the practical and theoretical specifics of this type of investment, there is no known evaluation method that can satisfactorily solved this problem. Therefore, the main aim of this article is to propose a novel fuzzy multi-attribute decision making method that works for all investment conditions. Its algorithm is inspired by some principles of the outranking methods. The evaluation of open unit trusts offered by the Česká spořitelna, clearly demonstrates all of the benefits of the proposed concept compared to the existing methods.