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MULTIOBJECTIVE APPROACH TO PORTFOLIO OPTIMIZATION IN THE LIGHT OF THE CREDIBILITY THEORY
Technological and Economic Development of Economy
The present research proposes a novel methodology to solve the problems faced by investors who take into consideration different investment criteria in a fuzzy context. The approach extends the stochastic mean-variance model to a fuzzy multiobjective model where liquidity is considered to quantify portfolio's performance, apart from the usual metrics like return and risk. The uncertainty of the future returns and the future liquidity of the potential assets are modelled employing trapezoidaldoi:10.3846/tede.2020.13189 fatcat:xi53uhxzvfcepoxeo5grd5w3zq