OWA Operators in Portfolio Selection

被引：2

作者：

Laengle, Sigifredo ^{[1
]}

Loyola, Gino ^{[1
]}

Merigo, Jose M. ^{[1
]}

机构：

[1] Univ Chile, Dept Management Control & Informat Syst, Santiago 8030015, Chile

来源：

SCIENTIFIC METHODS FOR THE TREATMENT OF UNCERTAINTY IN SOCIAL SCIENCES | 2015年 / 377卷

关键词：

Portfolio selection; Ordered weighted average; Mean; Variance; DECISION-MAKING; VARIANCE; MODEL;

D O I：

10.1007/978-3-319-19704-3_5

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

Portfolio 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.

引用

页码：53 / 64

页数：12

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