Soft Computing Based Optimization and Decision Models by David A. Pelta & Carlos Cruz Corona

Author:David A. Pelta & Carlos Cruz Corona
Language: eng
Format: epub
Publisher: Springer International Publishing, Cham

6 Conclusion

In this chapter we have seen how fuzzy techniques can be applied to the portfolio selection problem in order to deal with different issues related to the subjectivity of the investor’s preferences: on one hand, the integrality constraints considered in Sect. 4 make the problem very sensitive to small changes of the risk and return preferences, and our proposed model look for the best solution taking into account that those preferences are soft ones and, hence, the investor will accept slight variations if they provide a reasonable improvement of the solution. On the other hand, when considering non-financial goals as in Sect. 5, our model provides a precise way of prioritizing the financial behavior of the selected portfolio without disregarding its non-financial properties. Of course, it would not be reasonable to expect that a single model would be suitable for reflecting the preferences of every investor (even if it has some adjustable parameters to this end), and hence any other investor’s profiles will need essentially different models involving new ideas, and this leaves a rich field for future research.

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