A portfolio selection model based on a fuzzy set analysis

Making a portfolio decision becomes very difficult because the market dynamics leading to unavailable and unreliable information. Generally, in a portfolio selection problem, the Decision Makers consider simultaneously conflicting objectives such as rate of return and risk. The objective of this paper is to develop a fuzzy portfolio selection model to hedge against the uncertainty in decision-making. First, this paper applies a fuzzy set theory to model uncertain and unreliable information, then converts the fuzzy portfolio selection model into a crisp mathematical model from the risk-averse perspective, the transformed model can be solved by an optimization technique to determine an optimum portfolio and at last an example is used to illustrate the proposed approach.