Characterizing compromise solutions for investors with uncertain risk preferences
[EN] The optimum portfolio selection for an investor with particular preferences was proven to lie on the normalized efficient frontier between two bounds defined by the Ballestero (1998) bounding theorem. A deeper understanding is possible if the decision-maker is provided with visual and quantitat...
| Autores: | , , |
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| Formato: | artículo |
| Fecha de publicación: | 2019 |
| País: | España |
| Recursos: | Universitat Politècnica de València (UPV) |
| Repositorio: | RiuNet. Repositorio Institucional de la Universitat Politécnica de Valéncia |
| Idioma: | inglés |
| OAI Identifier: | oai:riunet.upv.es:10251/152254 |
| Acesso em linha: | https://riunet.upv.es/handle/10251/152254 |
| Access Level: | acceso abierto |
| Palavra-chave: | Finance Portfolio selection Compromise programming Discrete efficient-frontiers Performance prediction ECONOMIA FINANCIERA Y CONTABILIDAD |
| Resumo: | [EN] The optimum portfolio selection for an investor with particular preferences was proven to lie on the normalized efficient frontier between two bounds defined by the Ballestero (1998) bounding theorem. A deeper understanding is possible if the decision-maker is provided with visual and quantitative techniques. Here, we derive useful insights as a way to support investor's decision-making through: (i) a new theorem to assess balance of solutions; (ii) a procedure and a new plot to deal with discrete efficient frontiers and uncertain risk preferences; and (iii) two quality metrics useful to predict long-run performance of investors. |
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