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Multi-parameter Portfolio Selection Model with Some Novel Score-Deviation Under Dual Hesitant Fuzzy Environment

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Abstract

In risk investment, investors have to rely on uncertain information when it is difficult to obtain enough precise data. Dual hesitant fuzzy set (DHFS) is more applicable to deal with uncertain information because it involves membership degrees and non-membership degrees, which can validly describe positive and negative information, respectively. Although there has been research on decision-making based on the DHFS, the focus still remains on ranking the alternatives and choosing the best one, which cannot help investors to find the optimal portfolios. Therefore, to solve this problem, we mainly propose two novel portfolio selection models based on the DHFS in this paper. Firstly, we propose a Max-score dual hesitant fuzzy portfolio selection model with information preference (Model 3) for investors focusing on returns regardless of risks. Secondly, to consider the risks of portfolios, we improve Model 3 and develop a score-deviation dual hesitant fuzzy portfolio selection model with information preference and risk appetite (Model 5). Finally, a case study is conducted to highlight the effectiveness of the proposed models. A detailed sensitivity analysis and an efficient frontier analysis show that Model 5 can validly capture investors’ information preferences and risk appetites. Furthermore, compared with the hesitant fuzzy portfolio model, Model 5 can offer more options to the investors with different information preferences.

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Acknowledgements

This research was supported by the “Humanities and Social Sciences Research and Planning Fund of the Ministry of Education of China, No. x2lxY9180090”, “Natural Science Foundation of Guangdong Province, No. 2019A1515011038”, “Soft Science of Guangdong Province, and Nos. 2018A070712002, 2019A101002118”, and “Fundamental Research Funds for the Central Universities of China, No. x2lxC2180170”. The authors are highly grateful to the referees and editor in-chief for their very helpful comments.

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  1. Xue Deng

    Present address: School of Mathematics, South China University of Technology, Guangzhou, 510640, China

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  1. School of Mathematics, South China University of Technology, Guangzhou, 510640, China

    Weimin Li

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  1. Weimin Li
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Correspondence to Xue Deng.

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Li, W., Deng, X. Multi-parameter Portfolio Selection Model with Some Novel Score-Deviation Under Dual Hesitant Fuzzy Environment. Int. J. Fuzzy Syst. 22, 1123–1141 (2020). https://doi.org/10.1007/s40815-020-00835-8

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  • DOI: https://doi.org/10.1007/s40815-020-00835-8

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