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New Aggregation Methods for Decision-Making in the Selection of Business Opportunities Read chapter Read first chapter

2015 | OriginalPaper | Chapter

OWA Operators in Portfolio Selection

Authors : Sigifredo Laengle, Gino Loyola, José M. Merigó

Published in: Scientific Methods for the Treatment of Uncertainty in Social Sciences

Publisher: Springer International Publishing

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Abstract

Portfolio choice is the process of selecting the optimal proportion of various assets. One of the most well-known methods is the mean-variance approach developed by Harry Markowitz. This paper introduces the ordered weighted average (OWA) in the mean-variance model. The key idea is that the mean and the variance can be extended with the OWA operator being able to consider different degrees of optimism or pessimism in the analysis. Thus, this method can adapt to a wide range of scenarios providing a deeper representation of the available information from the most pessimistic situation to the most optimistic one.

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Metadata
Title
OWA Operators in Portfolio Selection
Authors
Sigifredo Laengle
Gino Loyola
José M. Merigó
Copyright Year
2015
Book
Scientific Methods for the Treatment of Uncertainty in Social Sciences

Print ISBN: 978-3-319-19703-6

Electronic ISBN: 978-3-319-19704-3

Copyright Year: 2015

DOI
https://doi.org/10.1007/978-3-319-19704-3_5

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