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Selecting the optimum portfolio using fuzzy compromise programming and sharpe's single index-model

dc.contributor.authorBilbao Terol, Amelia María 
dc.contributor.authorPérez Gladish, Blanca María 
dc.contributor.authorAntomil Ibias, José 
dc.date.accessioned2013-01-30T10:01:07Z
dc.date.available2013-01-30T10:01:07Z
dc.date.issued2006
dc.identifier.citationApplied Mathematics and Computation, 182(1), P. 644-664 (2006); doi:10.1016/j.amc.2006.04.028spa
dc.identifier.issn0096-3003
dc.identifier.urihttp://www.sciencedirect.com/science/article/pii/S0096300306003742
dc.identifier.urihttp://hdl.handle.net/10651/7042
dc.description.abstractDifferent approaches besides the traditional Markowitz’s model have been proposed in the literature to analyze portfolio selection problems. Among them, Compromise Programming (CP) is a suitable multiobjective programming technique which allows the handling of several objectives in those situations in which the existence of a high level of conflict between criteria does not permit the simultaneous optimization of all the considered objectives. When objectives and constraints are in an imprecise environment Fuzzy CP arises as a suitable solving method. Imprecision will be quantified by means of fuzzy numbers that represent the continuous possibility distributions for fuzzy parameters and hence place a constraint on the possible values the parameters may assume. In this paper a new Fuzzy Compromise Programming approach is proposed based on the obtaining of the minimum fuzzy distance to the fuzzy ideal solution of the portfolio selection problem. Once this fuzzy distance has been obtained the second step consists of finding a crisp decision vector, an optimal portfolio, implying a fuzzy distance to the ideal solution the more accurate as possible to the fuzzy minimum distance previously obtained.spa
dc.format.extent644-664spa
dc.language.isoeng
dc.publisherElsevier
dc.relation.ispartofApplied Mathematics and Computationspa
dc.sourceScience Directspa
dc.subjectPortfolio Selection; Sharpe’S Single-Index Model; Fuzzy Numbers; Value, Fuzziness and Ambiguity; Fuzzy Compromise Programmingspa
dc.titleSelecting the optimum portfolio using fuzzy compromise programming and sharpe's single index-modelspa
dc.typejournal article
dc.identifier.doi10.1016/j.amc.2006.04.028
dc.relation.publisherversionhttp://dx.doi.org/10.1016/j.amc.2006.04.028spa


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