Compromise Approach-Based Genetic Algorithm for Constrained Multiobjective Portfolio Selection Model


In this paper, fuzzy set theory is incorporated into a multiobjective portfolio selection model for investors' taking into three criteria: return, risk and liquidity. The cardinality constraint, the buy-in threshold constraint and the round-lots constraints are considered in the proposed model. To overcome the difficulty of evaluation a large set of efficient solutions and selection of the best one on non-dominated surface, a compromise approach-based genetic algorithm is presented to obtain a compromised solution for the proposed constrained multiobjective portfolio selection model.