Multi-criteria portfolio selection with fuzzy weights of the criteria - comparison of selected approaches

The issue of portfolio selection can be viewed as a multi-criteria problem. This approach is justified due to the variety of characteristics on the basis of which a company shall be assessed. The choice of characteristics which are the evaluation criteria, may significantly determine the results. Besides, the application of multi-criteria methods in portfolio selection is connected with other subjective decisions and ambiguous assessments which also affect the results. One of such subjective decision is the choice of the values of the criteria weights. The weights can be specified as one value but they can also be given as ranges of values that indicate the smallest and the largest possible value of the weight of the criterion. The aim of the article is to compare results of the ordering and the selection of shares that support building a portfolio in the situation of ambiguous weights. Therefore, in the paper, fuzzy numbers concerning the criteria weights are applied and selected multi-criteria methods are used.