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

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

    Resultado de la investigación: Contribución a una revistaArtículorevisión exhaustiva

    7 Citas (Scopus)

    Resumen

    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
    Volumen8
    N.º2
    DOI
    EstadoPublicada - dic. 2020

    Nota bibliográfica

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

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