A Risk-Return Model of Group Decision Making in Investment Fund
投资基金群决策风险-收益模型

Investment fund is served as a popular tool by investors in portfolio selection problems. It can be operated by experts with special knowledge and experience. In this paper, return, risk and transaction costs are the main objectives concerned in our portfolio selection model. First, we aggregated the judgements of objectives and weights given by a group of experts to a group consensus judgements with relative entropy method (REM); Second, we construct the hierarchical goal programming, which can be translated into two linear programming equivalently. Last, a numerical example was given.