Integrating incomplete fuzzy group preferences in a goal programming model for solving a Value-at-Risk efficient portfolio selection problem
نویسنده
چکیده
In this paper, we develop a novel goal programming model for solving a Value-at-Risk efficient portfolio selection problem. In this paper, the decision making processes in the financial problem take place in group settings where the most important decisions are made by groups of managers or experts whose preferences are often vague and cannot be estimated in exact numerical values. This paper proposes a new method which allows different decision making group members to express their incomplete fuzzy preferences. Keywordsgoal programming; Value-at Risk; Group decision making; Risk Management; Portfolio selection, Incomplete Fuzzy preferences.
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