A comprehensive model for fuzzy multi-objective portfolio selection based on DEA cross-efficiency model

In this paper, we discuss the fuzzy portfolio selection problems in multi-objective frameworks. A comprehensive model for multi-objective portfolio selection in fuzzy environment is proposed by incorporating mean-semivariance model and data envelopment analysis cross-efficiency model. In the proposed model, the cross-efficiency model is formulated within the framework of Sharpe ratio; bounds on holdings, and cardinality constraints are also considered. The nonlinear constrained multi-objective portfolio optimization problem cannot be efficiently solved by using traditional approaches. Thus, a multi-objective firefly algorithm is developed to solve the relevant model. Finally, an example verifies the validity of the proposed approaches.

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