A multiobjective credibilistic portfolio selection model. Empirical study in the latin american integrated market

Fernando García, Jairo González-Bueno, Francisco Guijarro, Javier Oliver

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

10 Citas (Scopus)


This paper extends the stochastic mean-semivariance model to a fuzzy multiobjective model, where apart from return and risk, also liquidity is considered to measure the performance of a portfolio. Uncertainty of future return and liquidity of each asset are modeled using L-R type fuzzy numbers that belong to the power reference function family. The decision process of this novel approach takes into account not only the multidimensional nature of the portfolio selection problem but also realistic constraints by investors. Particularly, it optimizes the expected return, the semivariance and the expected liquidity of a given portfolio, considering cardinality constraint and upper and lower bound constraints. The constrained portfolio optimization problem resulting is solved using the algorithm NSGA-II. As a novelty, in order to select the optimal portfolio, this study defines the credibilistic Sortino ratio as the ratio between the credibilistic risk premium and the credibilistic semivariance. An empirical study is included to show the effectiveness and efficiency of the model in practical applications using a data set of assets from the Latin American Integrated Market.
Idioma originalInglés
Páginas (desde-hasta)1027-1046
Número de páginas20
PublicaciónEntrepreneurship and Sustainability Issues
EstadoPublicada - dic. 2020

Nota bibliográfica

Publisher Copyright:
© 2020 by author(s) and VsI Entrepreneurship and Sustainability Center.

Palabras clave

  • fuzzy portfolio selection
  • L-R fuzzy numbers
  • credibility theory
  • mean-semivariance-liquidity
  • evolutionary multiobjective optimization
  • emerging financial markets

Tipos de Productos Minciencias

  • Artículos de investigación con calidad A1 / Q1


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