Belief rule-based system for portfolio optimisation with nonlinear cash-flows and constraints

► We develop a BRB system for portfolio optimisation when asset cash flows are nonlinear. ► The processes of applying the BRB system with RiskMetrics WealthBench to portfolio optimisation are studied in detail. ► Two optimisation methods are presented to locate efficient portfolios under different constraints specified by the investors. ► Numerical studies demonstrate the effectiveness and efficiency of the proposed methodology.