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A comprehensive model for fuzzy multi-objective portfolio selection based on DEA cross-efficiency model

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Abstract

In this paper, we discuss the fuzzy portfolio selection problems in multi-objective frameworks. A comprehensive model for multi-objective portfolio selection in fuzzy environment is proposed by incorporating mean-semivariance model and data envelopment analysis cross-efficiency model. In the proposed model, the cross-efficiency model is formulated within the framework of Sharpe ratio; bounds on holdings, and cardinality constraints are also considered. The nonlinear constrained multi-objective portfolio optimization problem cannot be efficiently solved by using traditional approaches. Thus, a multi-objective firefly algorithm is developed to solve the relevant model. Finally, an example verifies the validity of the proposed approaches.

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Acknowledgements

This research was supported by the Beijing Municipal Education Commission Foundation of China (No. KM201810038001). The author Mukesh Kumar Mehlawat acknowledges the financial support through DST PURSE Phase II Grant from University of Delhi, Delhi, India.

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Authors and Affiliations

  1. School of Information, Capital University of Economics and Business, Beijing, China

    Wei Chen, Si-Si Li & Jun Zhang

  2. Department of Operational Research, University of Delhi, Delhi, India

    Mukesh Kumar Mehlawat

Authors
  1. Wei Chen
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  2. Si-Si Li
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  3. Jun Zhang
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  4. Mukesh Kumar Mehlawat
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Correspondence to Wei Chen.

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Communicated by Y. Ni.

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Chen, W., Li, SS., Zhang, J. et al. A comprehensive model for fuzzy multi-objective portfolio selection based on DEA cross-efficiency model. Soft Comput 24, 2515–2526 (2020). https://doi.org/10.1007/s00500-018-3595-x

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