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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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