Portfolio Selection with respect to the Probabilistic Preference in Variable Risk Appetites: A Double-Hierarchy Analysis Method

Algorithm 1

Multiple-preference portfolio selection model.

	Step 1: give the fundamental elements and
	Step 2: normalize them, put and in 0 and 1, and calculate the value of CCR by , which is denoted with
	Step 3: correct the CCR efficiency value and put it into the cross-efficiency value evaluation ; this process mainly eliminates outliers
	Step 4: according to the equation , var(), the multiple preferences that contain the mean and variance of the efficiency value will be found
	Step 5: select the Markowitz portfolio model that allows short selling or does not allow short selling, and the optimal weight will be calculated by running software (software used by the authors is MATLAB)
	Step 6: if one needs to visually see the results that include the effective frontier of the portfolio, click on software to get the effective frontier map