关键词: 投资者异质信念, 目标优先级, 模糊决策, 多目标优化

Abstract: According to non-statistical uncertainty and insufficient historical data in security return forecasts, fuzzy set theory has been applied in the past decades to build portfolio selection models. Investors with heterogeneous beliefs usually build a portfolio to achieve multiple investment objectives with different priorities. Considering the fuzzy uncertainty of security markets and the feature of investors’ fuzzy decisions, a fuzzy multiple objective portfolio model with heterogeneous beliefs of investors and the priority among objectives is built, in which the investment return, downside risk and liquidity are formulated as fuzzy investment objectives. Further, based on main board, medium and small-sized board and growth enterprise board in the stock market, the CPT-TOPSIS interactive algorithm is used for empirical analysis. It is found that optimistic, rational and pessimistic investors prefer different priorities among return, risks, and liquidity goals, resulting in differences between the asset allocation structure, optimal decisions and investment performance. Optimistic investors prefer the portfolio with the highest return priority which obtains the best performance. Rational investors prefer the portfolio with the highest liquidity priority and pessimistic investors prefer the portfolio with the highest downside risk priority. The results show that the fuzzy multiple objective portfolio model can meet the differentiated needs of different investors for trading off multiple goals and outperform the benchmark random portfolios. The findings can be used as a reference for investors’ investment decisions and as an effective tool for risk management of stock equities.

Key words: investors’ heterogeneous beliefs, objective priorities, fuzzy decision, multiple objective optimization