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A credibilistic mean-semivariance-PER portfolio selection model for Latin America
- Source :
- Journal of Business Economics and Management; Vol 20 No 2 (2019); 225-243, Journal of Business Economics and Management, Vol 20, Iss 2 (2019)
- Publication Year :
- 2019
- Publisher :
- VGTU Press Technika, 2019.
-
Abstract
- 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 portfolio analysing the trade-off between return and risk. Nevertheless, this approach has been criticized for unrealistic assumptions and several changes have been proposed to incorporate investors’ constraints and more realistic risk measures. In this line of research, our proposal extends the mean-semivariance portfolio selection model to a multiobjective credibilistic model that besides risk and return, also considers the price-to-earnings ratio to measure portfolio performance. Uncertain future returns and PER ratio of each asset are approximated using L-R power fuzzy numbers. Furthermore, we consider budget, bound and cardinality constraints. To solve the constrained portfolio optimization problem, we use the algorithm NSGA-II. We assess the proposed approach generating a portfolio with shares included in the Latin American Integrated Market. Results show that this new approach is a good alternative to solve the portfolio selection problem when multiple objectives are considered.
- Subjects :
- Economics and Econometrics
mean-semi- variance-PER
050208 finance
Latin Americans
HF5001-6182
Computer science
05 social sciences
Semivariance
02 engineering and technology
0502 economics and business
0202 electrical engineering, electronic engineering, information engineering
Econometrics
Business, Management and Accounting (miscellaneous)
Portfolio
L-R power fuzzy numbers
Business
020201 artificial intelligence & image processing
fuzzy portfolio selection
evolutionary multiobjective optimization
credibility theory
Selection (genetic algorithm)
Subjects
Details
- Language :
- English
- ISSN :
- 16111699 and 20294433
- Database :
- OpenAIRE
- Journal :
- Journal of Business Economics and Management
- Accession number :
- edsair.doi.dedup.....0c615232830a4f489dd29873a1f33733