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A multiobjective multiperiod portfolio selection approach with different investor attitudes under an uncertain environment

  • Optimization
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Abstract

Though there are several studies on uncertain single-period portfolio selection, the uncertain multiperiod portfolio selection literature is still in an exploration phase. Besides, the effects and influences of investors’ attitudes have not been extensively investigated in a multiperiod framework. Further, the possible application of the contingent and borrowing and lending constraints in an uncertain multiperiod portfolio selection framework has not been explored. In this paper, we propose an uncertain multiobjective multiperiod portfolio selection model that handles the uncertainty using the Me operator. The Me operator integrates the investor’s attitude (conservative, neutral, or aggressive) into the portfolio selection model. The proposed model maximizes the terminal wealth and minimizes the cumulative risk of the portfolio subject to several realistic constraints, such as minimum return threshold, borrowing, and lending of the capital, value-at-risk, liquidity, cardinality, minimal and maximal fraction, no short selling, and contingent constraints, for each period. These realistic constraints adequately address the practical concerns of the investors and aptly mimic the investment market conditions concerning multiperiod investment over a long investment horizon. The weighted goal programming then solves the proposed model. Finally, a detailed empirical illustration is presented to demonstrate the efficacy of the proposed model. The proposed approach is also substantiated through comparison with the existing research works. The proposed approach effectively integrates the investor’s attitude and aptly simulates the real-world investment market conditions to incorporate the investor’s preferences into the portfolio selection.

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Acknowledgements

“The author, Sanjay Yadav, is supported by the National Fellowship for Other Backward Classes (OBC) granted by University Grants Commission (UGC), New Delhi, India vide letter no. F./2016-17/NFO-2015-17-OBC-DEL-34358/(SA-III/Website)”. The second and third authors acknowledge the support of the Institution of Eminence (IoE), University of Delhi, India through FRP scheme.

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Authors and Affiliations

  1. Department of Operational Research, Faculty of Mathematical Sciences, University of Delhi, Delhi, 110 007, India

    Sanjay Yadav, Pankaj Gupta, Mukesh Kumar Mehlawat & Arun Kumar

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  1. Sanjay Yadav
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  2. Pankaj Gupta
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  3. Mukesh Kumar Mehlawat
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  4. Arun Kumar
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All authors have equally contributed to the manuscript.

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Correspondence to Mukesh Kumar Mehlawat.

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Yadav, S., Gupta, P., Mehlawat, M.K. et al. A multiobjective multiperiod portfolio selection approach with different investor attitudes under an uncertain environment. Soft Comput 28, 8013–8050 (2024). https://doi.org/10.1007/s00500-024-09719-7

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