3-stage decision making procedure for an investment portfolio making under uncertainty

The main aim of this article is to propose a complex 3-stage decision making procedure for an investment portfolio making under uncertainty. In terms of the first stage, the investment policy of a potential investor is formulated. The group of potential investment instruments is specified. In the second phase, a group of the chosen investment instruments is reduced. Then a portfolio is made from the selected investment instruments during the third phase. The proposed concept accepts the elements of uncertainty, as inaccurate input data or approximate preferences about criteria importance, which are expressed via the triangular fuzzy numbers. In order to reduce a group of investment instruments, the fuzzy multicriteria evaluation method is proposed. To make a portfolio, the fuzzy multiple objective programming method is developed. The whole proposed 3-stage decision making procedure is applied to a making portfolio of the open unit trusts.