OWA Operators in Portfolio Selection

dc.creatorLaengle Scarlazetta, Sigifredo
dc.creatorLoyola Fuentes, Gino
dc.creatorMerigó Lindahl, José
dc.date.accessioned2016-11-15T19:31:09Z
dc.date.available2016-11-15T19:31:09Z
dc.date.created2016-11-15T19:31:09Z
dc.date.issued2015
dc.identifierAdvances in Intelligent Systems and Computing, Vol. 6, Junio 2015
dc.identifier10.1007/978-3-319-19704-3_5
dc.identifierhttps://repositorio.uchile.cl/handle/2250/141204
dc.description.abstractPortfolio choice is the process of selecting the optimal proportion of various assets. One of the most well-known methods is the mean-variance approach developed by Harry Markowitz. This paper introduces the ordered weighted average (OWA) in the mean-variance model. The key idea is that the mean and the variance can be extended with the OWA operator being able to consider different degrees of optimism or pessimism in the analysis. Thus, this method can adapt to a wide range of scenarios providing a deeper representation of the available information from the most pessimistic situation to the most optimistic one.
dc.languageen
dc.publisherSpringer
dc.rightshttp://creativecommons.org/licenses/by-nc-nd/3.0/cl/
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 Chile
dc.sourceAdvances in Intelligent Systems and Computing
dc.subjectPortfolio selection
dc.subjectOrdered weighted average
dc.subjectMean
dc.subjectVariance
dc.titleOWA Operators in Portfolio Selection
dc.typeArtículo de revista


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