Fuzzy Portfolio Selection in COVID-19 Spreading Period Using Fuzzy Goal Programming Model

• Main Authors: Ruey-Chyn Tsaur, Chien-Liang Chiu, Yin-Yin Huang
• Format: Article
• Language: English
• Published: MDPI AG 2021-04-01
• Series: Mathematics
• Subjects: fuzzy portfolio model; COVID-19; investment risk; expected return; fuzzy goal programming model
• Online Access: https://www.mdpi.com/2227-7390/9/8/835

While the international lockdown for the COVID-19 pandemic has greatly influenced the global economy, we are still confronted with the dilemma about the economy recession when the stock market hits record highs repeatedly. As we know, since portfolio selection is often affected by many non-probabilistic factors, it is of not easiness to obtain the precise probability distributions of the return rates. Therefore, fuzzy portfolio model is proposed for solving the efficient portfolio when the economy environment remains in vagueness for the future. To manage such an investment, we revise the Chen and Tsaur’s fuzzy portfolio model by using fuzzy goal programming model. Then, two numerical examples are illustrated by the proposed model which shows that the portfolio selection can be solved by the linguistic imprecise goal of the expected return. With different linguistic descriptions for the imprecise goal of expected return for the future stock market, the optimal portfolio selection that can be solved under different investment risks which is considered better than Chen and Tsaur’s model in real world situations. The sensitivity analysis with some parameter groups can be provided for more invested risk selection in the portfolio analysis.