| Summary: | 碩士 === 國立暨南國際大學 === 資訊管理學系 === 95 === Generally, in many researches of portfolio selection, other criteria are rarely considered except the basic criteria: return and risk. In this research we use fuzzy multiple goal programming to deal with the multi-criteria decision making problems for the portfolio selection. We include five criteria such as return, risk, β coefficient, short selling proportion and skewness to develop four models. There are two demonstrated examples in our research by moving window method. Finally, comparing with Taiwan 50 Index, the proposed model with the criterion of skewness can get higher return.
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