OMEGA, 35(1), p. 75-88 (2007); doi:10.1016/j.omega.2005.04.003
The aim of this work is to be a useful instrument for helping finance practitioners on the selection of suitable mutual fund portfolios. The portfolio selection problem is characterized by imprecision and/or vagueness inherent in the required data and more generally, in the context where investors have to make decisions. In order to mitigate these problems, a three stage model has been proposed based on a multi-index model and considering several market scenarios described in an imprecise way by an expert. The proposed fuzzy model allows the Decision Maker to select, by means of an outranking method, a suitable portfolio taking into account the uncertainty related to the market scenarios and the imprecision and/or vagueness associated with the model data.