Multiobjective Approach to Portfolio Optimization in the Light of the Credibility Theory

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dc.contributor.affiliationFacultad de Administración y Dirección de Empresas
dc.contributor.affiliationDepartamento de Economía y Ciencias Sociales
dc.contributor.affiliationCentro de Investigación de Ingeniería Económica
dc.contributor.affiliationInstituto Universitario de Matemática Pura y Aplicada
dc.contributor.authorGarcía García, Fernando
dc.contributor.authorGonzález-Bueno, Jairoes_ES
dc.contributor.authorGuijarro, Francisco
dc.contributor.authorOliver-Muncharaz, Javier
dc.contributor.authorTamosiuniene, Rimaes_ES
dc.date.accessioned2021-05-21T03:31:54Z
dc.date.available2021-05-21T03:31:54Z
dc.date.issued2020es_ES
dc.description.abstract[EN] The present research proposes a novel methodology to solve the problems faced by investors who take into consideration different investment criteria in a fuzzy context. The approach extends the stochastic mean-variance model to a fuzzy multiobjective model where liquidity is considered to quantify portfolio's performance, apart from the usual metrics like return and risk. The uncertainty of the future returns and the future liquidity of the potential assets are modelled employing trapezoidal fuzzy numbers. The decision process of the proposed approach considers that portfolio selection is a multidimensional issue and also some realistic constraints applied by investors. Particularly, this approach optimizes the expected return, the risk and the expected liquidity of the portfolio, considering bound constraints and cardinality restrictions. As a result, an optimization problem for the constraint portfolio appears, which is solved by means of the NSGA-II algorithm. This study defines the credibilistic Sortino ratio and the credibilistic STARR ratio for selecting the optimal portfolio. An empirical study on the S&P100 index is included to show the performance of the model in practical applications. The results obtained demonstrate that the novel approach can beat the index in terms of return and risk in the analyzed period, from 2008 until 2018.en_EN
dc.description.accrualMethodSes_ES
dc.description.bibliographicCitationGarcía García, F.; González-Bueno, J.; Guijarro, F.; Oliver-Muncharaz, J.; Tamosiuniene, R. (2020). Multiobjective Approach to Portfolio Optimization in the Light of the Credibility Theory. Technological and Economic Development of Economy (Online). 26(6):1165-1186. https://doi.org/10.3846/tede.2020.13189es_ES
dc.description.issue6es_ES
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dc.description.volume26es_ES
dc.identifier.doi10.3846/tede.2020.13189es_ES
dc.identifier.eissn2029-4921es_ES
dc.identifier.urihttps://riunet.upv.es/handle/10251/166585
dc.languageIngléses_ES
dc.publisherVilnius Gediminas Technical Universityes_ES
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dc.relation.publisherversionhttps://doi.org/10.3846/tede.2020.13189es_ES
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dc.rightsReconocimiento (by)es_ES
dc.rights.accessRightsAbiertoes_ES
dc.subjectEvolutionary multiobjective optimizationes_ES
dc.subjectFuzzy portfolio selectiones_ES
dc.subjectMean-CVaR-liquidityes_ES
dc.subjectMean-semivariance-liquidityes_ES
dc.subjectTrapezoidal fuzzy numberses_ES
dc.subjectNSGA-IIes_ES
dc.subjectCredibilistic Sortino ratioes_ES
dc.subjectCredibilistic STARR ratioes_ES
dc.subject.classificationECONOMIA FINANCIERA Y CONTABILIDADes_ES
dc.titleMultiobjective Approach to Portfolio Optimization in the Light of the Credibility Theoryes_ES
dc.typeArtículoes_ES
dc.type.versioninfo:eu-repo/semantics/publishedVersiones_ES
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