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Characterizing compromise solutions for investors with uncertain risk preferences

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Characterizing compromise solutions for investors with uncertain risk preferences

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dc.contributor.author Salas-Molina, Francisco es_ES
dc.contributor.author Rodriguez-Aguilar, Juan A. es_ES
dc.contributor.author Pla Santamaría, David es_ES
dc.date.accessioned 2020-10-17T03:31:45Z
dc.date.available 2020-10-17T03:31:45Z
dc.date.issued 2019-09 es_ES
dc.identifier.issn 1109-2858 es_ES
dc.identifier.uri http://hdl.handle.net/10251/152254
dc.description.abstract [EN] The optimum portfolio selection for an investor with particular preferences was proven to lie on the normalized efficient frontier between two bounds defined by the Ballestero (1998) bounding theorem. A deeper understanding is possible if the decision-maker is provided with visual and quantitative techniques. Here, we derive useful insights as a way to support investor's decision-making through: (i) a new theorem to assess balance of solutions; (ii) a procedure and a new plot to deal with discrete efficient frontiers and uncertain risk preferences; and (iii) two quality metrics useful to predict long-run performance of investors. es_ES
dc.description.sponsorship Work partially funded by projects Collectiveware TIN2015-66863-C2-1-R (MINECO/FEDER) and 2014 SGR 118 es_ES
dc.language Inglés es_ES
dc.publisher Springer-Verlag es_ES
dc.relation.ispartof Operational Research es_ES
dc.rights Reserva de todos los derechos es_ES
dc.subject Finance es_ES
dc.subject Portfolio selection es_ES
dc.subject Compromise programming es_ES
dc.subject Discrete efficient-frontiers es_ES
dc.subject Performance prediction es_ES
dc.subject.classification ECONOMIA FINANCIERA Y CONTABILIDAD es_ES
dc.title Characterizing compromise solutions for investors with uncertain risk preferences es_ES
dc.type Artículo es_ES
dc.identifier.doi 10.1007/s12351-017-0309-6 es_ES
dc.relation.projectID info:eu-repo/grantAgreement/MINECO//TIN2015-66863-C2-1-R/ES/COLLECTIVEWARE: TECNOLOGIAS PARA POTENCIAR COLECTIVOS HUMANOS EN LA RED ELECTRICA INTELIGENTE/ es_ES
dc.relation.projectID info:eu-repo/grantAgreement/Generalitat de Catalunya//2014 SGR 118/ es_ES
dc.rights.accessRights Abierto es_ES
dc.contributor.affiliation Universitat Politècnica de València. Departamento de Economía y Ciencias Sociales - Departament d'Economia i Ciències Socials es_ES
dc.description.bibliographicCitation Salas-Molina, F.; Rodriguez-Aguilar, JA.; Pla Santamaría, D. (2019). Characterizing compromise solutions for investors with uncertain risk preferences. Operational Research. 19(3):661-677. https://doi.org/10.1007/s12351-017-0309-6 es_ES
dc.description.accrualMethod S es_ES
dc.relation.publisherversion https://doi.org/10.1007/s12351-017-0309-6 es_ES
dc.description.upvformatpinicio 661 es_ES
dc.description.upvformatpfin 677 es_ES
dc.type.version info:eu-repo/semantics/publishedVersion es_ES
dc.description.volume 19 es_ES
dc.description.issue 3 es_ES
dc.relation.pasarela S\329725 es_ES
dc.contributor.funder European Regional Development Fund es_ES
dc.contributor.funder Generalitat de Catalunya es_ES
dc.contributor.funder Ministerio de Economía y Competitividad es_ES
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