Dynamic multi-objective fuzzy portfolio model that considers corporate social responsibility and background risk

Abstract This study was conducted to examine the properties of a portfolio selection model when securities returns, background asset returns, and the corporate social responsibility index are all normal fuzzy numbers, and to propose a hybrid fruit fly optimisation algorithm (FOA) for solving a dynamic multi-objective optimisation model. A nondominated sorting hybrid FOA derived concurrently from NSGA-II and the FOA is presented here. The kurtosis of a portfolio without background risk was a constant value when risky asset returns were fuzzy normal numbers, and the kurtosis of a portfolio increased when the variance of back-ground risk increased. The main contribution of this study is the establishment of a dynamic multi-objective fuzzy portfolio model that considers corporate social responsibility and background risk. An analytic expression of portfolio kurtosis including background risk was deduced when the return of risky assets and background risk were fuzzy normal numbers.

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