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

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

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dc.contributor.author García García, Fernando es_ES
dc.contributor.author González-Bueno, Jairo es_ES
dc.contributor.author Guijarro, Francisco es_ES
dc.contributor.author Oliver-Muncharaz, Javier es_ES
dc.contributor.author Tamosiuniene, Rima es_ES
dc.date.accessioned 2021-05-21T03:31:54Z
dc.date.available 2021-05-21T03:31:54Z
dc.date.issued 2020 es_ES
dc.identifier.uri http://hdl.handle.net/10251/166585
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. es_ES
dc.language Inglés es_ES
dc.publisher Vilnius Gediminas Technical University es_ES
dc.relation.ispartof Technological and Economic Development of Economy (Online) es_ES
dc.rights Reconocimiento (by) es_ES
dc.subject Evolutionary multiobjective optimization es_ES
dc.subject Fuzzy portfolio selection es_ES
dc.subject Mean-CVaR-liquidity es_ES
dc.subject Mean-semivariance-liquidity es_ES
dc.subject Trapezoidal fuzzy numbers es_ES
dc.subject NSGA-II es_ES
dc.subject Credibilistic Sortino ratio es_ES
dc.subject Credibilistic STARR ratio es_ES
dc.subject.classification ECONOMIA FINANCIERA Y CONTABILIDAD es_ES
dc.title Multiobjective Approach to Portfolio Optimization in the Light of the Credibility Theory es_ES
dc.type Artículo es_ES
dc.identifier.doi 10.3846/tede.2020.13189 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 García 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.2020.13189 es_ES
dc.description.accrualMethod S es_ES
dc.relation.publisherversion https://doi.org/10.3846/tede.2020.13189 es_ES
dc.description.upvformatpinicio 1165 es_ES
dc.description.upvformatpfin 1186 es_ES
dc.type.version info:eu-repo/semantics/publishedVersion es_ES
dc.description.volume 26 es_ES
dc.description.issue 6 es_ES
dc.identifier.eissn 2029-4921 es_ES
dc.relation.pasarela S\419080 es_ES
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