Portfolio optimization is the process of finding the best portfolio allocation in terms of risk/reward profile of the investment. When planning personal finance strategies, financial institutions use a questionnaire to assess which products, services, and operations are best suited to their clients’ needs.

The objective of this process is to place the investor in a suitable category, which depends on matters such as risk, the objective of the investment, and the client’s knowledge of the market. Simultaneously, banks classify their funds into categories based on market and credit risks. Banks then propose a portfolio that maximizes the adequacy of the investments for the client’s profile, the reward of the portfolio, and to minimize the portfolio risk.

The authors propose a multi-step procedure for personal investment portfolio selection in private banking, combining fuzzy decision-making and optimization-based approaches.

The efficiency of Artelys Knitro is exploited within this procedure, allowing to consider simultaneously regulation issues, and investors’ objectives and preferences.