Application of the Fuzzy Weighted Average in Strategic Portfolio Management*
提出一种结合模糊集理论与投资组合矩阵的系统方法，帮助管理者理解业务组合的整体竞争力，并利用整数线性规划优化资源分配，通过实际案例验证其有效性。
ABSTRACT We propose a systematic approach that incorporates fuzzy set theory in conjunction with portfolio matrices to assist managers in reaching a better understanding of the overall competitiveness of their business portfolios. Integer linear programming is also accommodated in the proposed integrated approach to help select strategic plans by using the results derived from the previous portfolio analysis and other financial data. The proposed integrated approach is designed from a strategy‐oriented perspective for portfolio management at the corporate level. It has the advantage of dealing with the uncertainty problem of decision makers in doing evaluation, providing a technique that presents the diversity of confidence and optimism levels of decision makers. Furthermore, integer linear programming is used because it offers an effective quantitative method for managers to allocate constrained resources optimally among proposed strategies. An illustration from a real‐world situation demonstrates the integrated approach. Although a particular portfolio matrix model has been adopted in our research, the procedure proposed here can be modified to incorporate other portfolio matrices.