Mean-variance portfolio selection with the ordered weighted average
Author
dc.contributor.author
Laengle Scarlazetta, Sigifredo
Author
dc.contributor.author
Loyola Fuentes, Gino
Author
dc.contributor.author
Merigó Lindahl, José
Admission date
dc.date.accessioned
2019-05-29T14:00:06Z
Available date
dc.date.available
2019-05-29T14:00:06Z
Publication date
dc.date.issued
2017
Cita de ítem
dc.identifier.citation
IEEE Transactions on Fuzzy Systems, VolL. 25, No. 2, april 2017
Identifier
dc.identifier.issn
10636706
Identifier
dc.identifier.other
10.1109/TFUZZ.2016.2578345
Identifier
dc.identifier.uri
https://repositorio.uchile.cl/handle/2250/169178
Abstract
dc.description.abstract
Portfolio selection is the theory that studies the pro-cess of selecting the optimal proportion of different assets. The firstapproach was introduced by Harry Markowitz and was based ona mean-variance framework. This paper introduces the orderedweighted average (OWA) in the mean-variance model. The mainidea is to replace the classical mean and variance by the OWA op-erator. By doing so, the new model is able to study different degreesof optimism and pessimism in the analysis being able to develop anapproach that considers the decision makers attitude in the selec-tion process. This paper also suggests a new framework for dealingwith the attitudinal character of the decision maker based on thenumerical values of the available arguments. The main advantageof this method is the ability to adapt to many situations offering amore complete representation of the available data from the mostpessimistic situation to the most optimistic one. An illustrative withfictitious data and a real example are studied.