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Journal of Information and Optimization Sciences

(Since 1980)
Hybrid ·Peer-reviewed·ISSN (Online): 2169-0103·ISSN (Print): 0252-2667

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Monthly Journal: Publishes theoretical and applied research on topics in information and optimization sciences.

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Journal of Information and Optimization Sciences
Open Access Research Article

Multi-objective fuzzy optimization under uncertainty for investment portfolio selection in emerging financial markets

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pp. 849–885Vol. 47Issue 3March 2026DOI: 10.47974/JIOS-1574XML
Received:
09 Aug 2023
Published Online:
03 Feb 2025
Article type:
Research Article
Language:
EN
Article no.:
JIOS-1574
Pages:
849–885

Abstract

In the problem of selecting an investment portfolio, especially in emerging financial markets, the investor usually intends to make the best possible choice for investment while using several different objectives, such as returns, liquidity, and risk. For this purpose, a new method is proposed using goal values and the maximum possible deviations for each goal. Fuzzy goals, fuzzy interval values for each asset, and their combination with satisfaction functions are employed to develop a fuzzy goal programming model. It is also suggested that the goals be weighted based on the comments of decision-making experts. This approach can determine an optimal solution based on the uncertainties of the financial markets (fuzzy interval values of the goals) and choose the portfolio based on the best possible level of the goals. The objective is to model a multi-objective investment portfolio selection problem, taking into account the fuzzy interval values, in which the distributions and fuzzy intervals are expressed using the data available in the decision-making environment. In addition, the opinions of market experts have been used directly to weigh goals. Finally, the proposed approach for choosing the investment portfolio in the crypto-currency market is implemented, and the 100% satisfaction level of the investment portfolio in all the objectives of the problem, i.e., return, liquidity, and risk, is obtained as the final output.

Keywords

Multi-objective optimizationFuzzy intervalInvestment portfolio selectionMCDMGoal programming

Subject Classifications

97M40

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