A credibilistic mean-semivariance-per portfolio selection model for Latin America

Fernando García, Jairo González-Bueno, Javier Oliver, Rima Tamošiūnienė

Producción científica: Contribución a una revistaArtículo en revista científica indexadarevisión exhaustiva

22 Citas (Scopus)

Resumen

Many real-world problems in the financial sector have to consider different objectives which are conflicting, for example portfolio selection. Markowitz proposed an approach to determine the optimal composition of a portfolio analysing the trade-off between return and risk. Nevertheless, this approach has been criticized for unrealistic assumptions and several changes have been proposed to incorporate investors’ constraints and more realistic risk measures. In this line of research, our proposal extends the mean-semivariance portfolio selection model to a multiobjective credibilistic model that besides risk and return, also considers the price-to-earnings ratio to measure portfolio performance. Uncertain future returns and PER ratio of each asset are approximated using L-R power fuzzy numbers. Furthermore, we consider budget, bound and cardinality constraints. To solve the constrained portfolio optimization problem, we use the algorithm NSGA-II. We assess the proposed approach generating a portfolio with shares included in the Latin American Integrated Market. Results show that this new approach is a good alternative to solve the portfolio selection problem when multiple objectives are considered.
Idioma originalInglés
Páginas (desde-hasta)225-243
Número de páginas19
PublicaciónJournal of Business Economics and Management
Volumen20
N.º2
DOI
EstadoPublicada - 2019

Nota bibliográfica

Publisher Copyright:
�© 2019 The Author(s). Published by VGTU Pr.

Palabras clave

  • fuzzy portfolio selection
  • credibility theory
  • L-R power fuzzy numbers
  • mean-semi- variance-PER
  • evolutionary multiobjective optimization

Tipos de Productos Minciencias

  • Artículos de investigación con calidad A2 / Q2

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