Investment decision-making by a two-step multi-criteria procedure

摘要

This article proposes a new two-step procedure for investment decision making under uncertainty. We choose a set of particular shares funds for potential investment. An investor sets several criteria evaluating the investment alternatives. The investment decision making process includes some uncertainties, namely vague decision maker (DM) preferences or random elements. The decision making procedure is divided into two steps. Firstly, the extensive sets of shares funds are cut down in order to choose a few funds for the final investment portfolio. To select the funds, the fuzzy ELECTRE I approach is applied. This approach is able to accept vague information about criteria values or weights of criteria via fuzzy numbers. To make the final portfolio, an interactive multiple objective programming method is proposed. This method takes into account fuzzy DM preferences and allows for collaboration in the process of portfolio making. In the end both methods are applied to create the investment portfolio of shares funds under uncertainty and the results are discussed.