Capital Asset Pricing Model and Ordered Weighted Average Operator for Selecting Investment Portfolios

被引：0

作者：

Uzeta-Obregon, Cristhian R. ^{[1
]}

Garcia-Gastelum, Tanya S. ^{[1
]}

Alvarez, Pavel A. ^{[1
]}

Mellado-Cid, Cristhian ^{[2
]}

Blanco-Mesa, Fabio ^{[3
]}

Leon-Castro, Ernesto ^{[2
]}

机构：

[1] Univ Autonoma Occidente, Unidad Culiacan, Culiacan 80020, Sinaloa, Mexico

[2] Univ Catolica Santisima Concepcion, Fac Econ & Adm Sci, Concepcion 4081393, Chile

[3] Univ Pedag & Tecnol Colombia, Fac Econ & Adm Sci, Sch Business Adm, Tunja 150003, Colombia

来源：

AXIOMS | 2024年 / 13卷 / 10期

关键词：

CAPM; OWA operator; Bonferroni OWA; portfolio investment; DECISION-MAKING; AGGREGATION OPERATORS; EXCHANGE-RATE; VARIANCE; RISK;

D O I：

10.3390/axioms13100660

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

The main objective of this article is to present the formulation of a Capital Asset Pricing Model ordered weighted average CAPMOWA and its extensions, called CAPM-induced OWA (CAPMIOWA), CAPM Bonferroni OWA (CAPMBon-OWA), and CAPM Bonferroni-induced OWA CAPMBon-IOWA. A step-by-step process for applying this new proposal in a real case of formulating investment portfolios is generated. These methods show several scenarios, considering the attitude, preferences, and relationship of each argument, when underestimation or overestimation of the information by the decision maker may influence the decision-making process regarding portfolio investments. Finally, the complexity of the method and the incorporation of soft information into the modeling process lead to generating a greater number of scenarios and reflect the attitudes and preferences of decision makers.

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