García García, Fernando; Gonzalez-Bueno, Jairo; Oliver-Muncharaz, Javier; Tamosiuniene, Rima(Vilnius Gediminas Technical University, 2019)
[EN] Many real-world problems in the financial sector have to consider different objectives which are conflicting, for example portfolio selection. Markowitz proposed an approach to determine the optimal composition of a ...
García García, Fernando; Gonzalez-Bueno, Jairo; Guijarro, Francisco; Oliver-Muncharaz, Javier(Enterpreneurship and Sustainability Center, 2020)
[EN] This paper extends the stochastic mean-semivariance model to a fuzzy multiobjective model, where apart from return and risk, also liquidity is considered to measure the performance of a portfolio. Uncertainty of future ...