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Discrete fuzzy system orbits as a portfolio selection method

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Discrete fuzzy system orbits as a portfolio selection method

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dc.contributor.author Perez-Gonzaga, S. es_ES
dc.contributor.author Jordán Núñez, Jorge es_ES
dc.contributor.author Miró Martínez, Pau es_ES
dc.date.accessioned 2018-11-02T05:32:38Z
dc.date.available 2018-11-02T05:32:38Z
dc.date.issued 2017 es_ES
dc.identifier.uri http://hdl.handle.net/10251/111707
dc.description.abstract [EN] The purpose of this work is to approach the portfolio selection problem from a particular System Theory framework. The System will be formed by the set of public companies in the portfolio and a set of fuzzy relations on those companies. Starting with an equally split portfolio represented by a fuzzy set B, the orbit of B is computed for a particular period obtaining a portfolio to invest in the next period. We present an example ¿nding nine portfolios to invest in 9 months and we compare them with some optimal portfolios in the ef¿cient frontier given by the Modern Portfolio Theory and with some random generated portfolios. We ¿nd a better performance in returns for the portfolio based on the systemic method. es_ES
dc.language Inglés es_ES
dc.publisher Springer-Verlag es_ES
dc.relation.ispartof Operational Research (Online) es_ES
dc.rights Reserva de todos los derechos es_ES
dc.subject Abstract system es_ES
dc.subject Discrete orbits es_ES
dc.subject Fuzzy finance es_ES
dc.subject.classification ESTADISTICA E INVESTIGACION OPERATIVA es_ES
dc.title Discrete fuzzy system orbits as a portfolio selection method es_ES
dc.type Artículo es_ES
dc.identifier.doi 10.1007/s12351-017-0361-2 es_ES
dc.rights.accessRights Abierto es_ES
dc.date.embargoEndDate 2018-11-06 es_ES
dc.contributor.affiliation Universitat Politècnica de València. Departamento de Estadística e Investigación Operativa Aplicadas y Calidad - Departament d'Estadística i Investigació Operativa Aplicades i Qualitat es_ES
dc.description.bibliographicCitation Perez-Gonzaga, S.; Jordán Núñez, J.; Miró Martínez, P. (2017). Discrete fuzzy system orbits as a portfolio selection method. Operational Research (Online). doi:10.1007/s12351-017-0361-2 es_ES
dc.description.accrualMethod S es_ES
dc.relation.publisherversion http://doi.org/10.1007/s12351-017-0361-2 es_ES
dc.type.version info:eu-repo/semantics/publishedVersion es_ES
dc.identifier.eissn 1866-1505 es_ES
dc.relation.pasarela S\345902 es_ES
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