dc.contributor.author | Garcia, Fernando | |
dc.contributor.author | Gonzalez-Bueno, Jairo | |
dc.contributor.author | Guijarro, Francisco | |
dc.contributor.author | Oliver, Javier | |
dc.contributor.author | Tamošiūnienė, Rima | |
dc.date.accessioned | 2023-09-18T20:34:10Z | |
dc.date.available | 2023-09-18T20:34:10Z | |
dc.date.issued | 2020 | |
dc.identifier.issn | 2029-4913 | |
dc.identifier.uri | https://etalpykla.vilniustech.lt/handle/123456789/150909 | |
dc.description.abstract | 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. | eng |
dc.format | PDF | |
dc.format.extent | p. 1165-1186 | |
dc.format.medium | tekstas / txt | |
dc.language.iso | eng | |
dc.relation.isreferencedby | Social Sciences Citation Index (Web of Science) | |
dc.relation.isreferencedby | Scopus | |
dc.relation.isreferencedby | DOAJ | |
dc.relation.isreferencedby | ICONDA | |
dc.relation.isreferencedby | TOC Premier | |
dc.relation.isreferencedby | ProQuest Central | |
dc.relation.isreferencedby | Gale's Academic OneFile | |
dc.relation.isreferencedby | Business Source Complete | |
dc.source.uri | https://journals.vgtu.lt/index.php/TEDE/article/view/13189/10099 | |
dc.source.uri | https://journals.vgtu.lt/index.php/TEDE/article/view/13189 | |
dc.title | Multiobjective approach to portfolio optimization in the light of the credibility theory | |
dc.type | Straipsnis Web of Science DB / Article in Web of Science DB | |
dcterms.accessRights | This is an Open Access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited. | |
dcterms.license | Creative Commons – Attribution – 4.0 International | |
dcterms.references | 90 | |
dc.type.pubtype | S1 - Straipsnis Web of Science DB / Web of Science DB article | |
dc.contributor.institution | Universitat Politècnica de València | |
dc.contributor.institution | Universidad Pontificia Bolivariana | |
dc.contributor.institution | Vilniaus Gedimino technikos universitetas | |
dc.contributor.faculty | Verslo vadybos fakultetas / Faculty of Business Management | |
dc.subject.researchfield | S 004 - Ekonomika / Economics | |
dc.subject.vgtuprioritizedfields | EV02 - Aukštos pridėtinės vertės ekonomika / High Value-Added Economy | |
dc.subject.ltspecializations | L103 - Įtrauki ir kūrybinga visuomenė / Inclusive and creative society | |
dc.subject.en | evolutionary multiobjective optimization | |
dc.subject.en | fuzzy portfolio selection | |
dc.subject.en | mean-CVaR-liquidity | |
dc.subject.en | mean-semivariance-liquidity | |
dc.subject.en | trapezoidal fuzzy numbers | |
dc.subject.en | NSGA-II | |
dc.subject.en | credibilistic sortino ratio | |
dc.subject.en | credibilistic STARR ratio | |
dcterms.sourcetitle | Technological and economic development of economy | |
dc.description.issue | iss. 6 | |
dc.description.volume | vol. 26 | |
dc.publisher.name | VGTU Press | |
dc.publisher.city | Vilnius | |
dc.identifier.doi | 000596389400003 | |
dc.identifier.doi | 10.3846/tede.2020.13189 | |
dc.identifier.elaba | 73553119 | |