Investment portfolio making under uncertainty by a two-stage decision making procedure

The main aim of this paper is to solve the problem of investment portfolio making under uncertainty. For this purpose, a two-stage decision making procedure is proposed. In the first phase, the approach provides aggregate valuation of investment alternatives which are divided into "bad" and good" ones. Then an investment portfolio is made from the selected alternatives during the second phase. The proposed procedure offers the complex view of the investment in contrast to the current approaches solving rather only the partial fragments of an investment process. The concept accepts the elements of uncertainty, as inaccurate input data, approximate preferences about a relevance of criteria or a final value of particular portfolio characteristics. These vague elements are expressed by the (triangular) fuzzy numbers. For the first phase, the fuzzy multi-criteria evaluation method is proposed. The algorithm is based on modifications of the current concepts ELECTRE I and III. In terms of the second phase, the fuzzy multiple objective programming method is introduced which is educed from the fuzzy method KSU-STEM. The whole proposed two-stage decision making procedure is applied to making portfolio of the open unit trusts offered by the Ceska sporitelna investment company. The investment situation is introduced, the portfolio making process is described step by step and the results are analyzed.