Multi-criteria group decision-making for portfolio allocation with consensus reaching process under interval type-2 fuzzy environment

Abstract

The portfolio allocation problem is a hot topic in modern economics and management science. It involves many immeasurable criteria and uncertainties. Given the advantage of interval type-2 fuzzy sets (IT2FSs) in modeling complexities and uncertainties, this study provides an integrated methodology to deal with portfolio allocation problem based on the multiple criteria group decision-making (MCGDM) method considering the consensus reaching process in an interval type-2 fuzzy environment. First, some new information measures for IT2FSs include the weighted mean, and the weighted semi-absolute deviation measures are defined. They are used to describe the return and risk of the portfolio allocation, respectively. Second, a two-stage MCGDM framework is constructed for portfolio allocation: one is to achieve the group consensus, and the other is to obtain the optimal portfolio ratios. Finally, an example on calculating the optimal portfolio ratios for four newly listed stocks in China is offered to elaborate on the performance of our approach. Sensitivity and comparative analyses are also given to show the effectiveness and advantages of the proposed method.