Characterizing compromise solutions for investors with uncertain risk preferences

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 (J Oper Res Soc 49:998–1000, 1998) bounding theorem. A deeper understanding is possible if the decision-maker is provided wi...

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Detalles Bibliográficos
Autores: Salas-Molina, Francisco, Rodríguez-Aguilar, Juan Antonio, Pla-Santamaría, David
Tipo de recurso: artículo
Estado:Versión enviada para evaluación y publicación
Fecha de publicación:2019
País:España
Institución:Consejo Superior de Investigaciones Científicas (CSIC)
Repositorio:DIGITAL.CSIC. Repositorio Institucional del CSIC
OAI Identifier:oai:dnet:digitalcsic_::7f2b97af6ebf3c0061987c4b0c688583
Acceso en línea:http://hdl.handle.net/10261/237334
Access Level:acceso abierto
Palabra clave:Finance
Portfolio selection
Compromise programming
Discrete efficient-frontiers
Performance prediction
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spelling Characterizing compromise solutions for investors with uncertain risk preferencesSalas-Molina, FranciscoRodríguez-Aguilar, Juan AntonioPla-Santamaría, DavidFinancePortfolio selectionCompromise programmingDiscrete efficient-frontiersPerformance predictionThe 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 (J Oper Res Soc 49:998–1000, 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: (1) a new theorem to assess balance of solutions; (2) a procedure and a new plot to deal with discrete efficient frontiers and uncertain risk preferences; and (3) two quality metrics useful to predict long-run performance of investors.Springer NatureConsejo Superior de Investigaciones Científicas [https://ror.org/02gfc7t72]2021202120192021info:eu-repo/semantics/articlehttp://purl.org/coar/resource_type/c_6501Preprintinfo:eu-repo/semantics/submittedVersionhttp://hdl.handle.net/10261/237334reponame:DIGITAL.CSIC. Repositorio Institucional del CSICinstname:Consejo Superior de Investigaciones Científicas (CSIC)Ingléshttp://dx.doi.org/10.1007/s12351-017-0309-6Síinfo:eu-repo/semantics/openAccessoai:dnet:digitalcsic_::7f2b97af6ebf3c0061987c4b0c6885832026-05-22T06:33:51Z
dc.title.none.fl_str_mv Characterizing compromise solutions for investors with uncertain risk preferences
title Characterizing compromise solutions for investors with uncertain risk preferences
spellingShingle Characterizing compromise solutions for investors with uncertain risk preferences
Salas-Molina, Francisco
Finance
Portfolio selection
Compromise programming
Discrete efficient-frontiers
Performance prediction
title_short Characterizing compromise solutions for investors with uncertain risk preferences
title_full Characterizing compromise solutions for investors with uncertain risk preferences
title_fullStr Characterizing compromise solutions for investors with uncertain risk preferences
title_full_unstemmed Characterizing compromise solutions for investors with uncertain risk preferences
title_sort Characterizing compromise solutions for investors with uncertain risk preferences
dc.creator.none.fl_str_mv Salas-Molina, Francisco
Rodríguez-Aguilar, Juan Antonio
Pla-Santamaría, David
author Salas-Molina, Francisco
author_facet Salas-Molina, Francisco
Rodríguez-Aguilar, Juan Antonio
Pla-Santamaría, David
author_role author
author2 Rodríguez-Aguilar, Juan Antonio
Pla-Santamaría, David
author2_role author
author
dc.contributor.none.fl_str_mv Consejo Superior de Investigaciones Científicas [https://ror.org/02gfc7t72]
dc.subject.none.fl_str_mv Finance
Portfolio selection
Compromise programming
Discrete efficient-frontiers
Performance prediction
topic Finance
Portfolio selection
Compromise programming
Discrete efficient-frontiers
Performance prediction
description 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 (J Oper Res Soc 49:998–1000, 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: (1) a new theorem to assess balance of solutions; (2) a procedure and a new plot to deal with discrete efficient frontiers and uncertain risk preferences; and (3) two quality metrics useful to predict long-run performance of investors.
publishDate 2019
dc.date.none.fl_str_mv 2019
2021
2021
2021
dc.type.none.fl_str_mv info:eu-repo/semantics/article
http://purl.org/coar/resource_type/c_6501
Preprint
info:eu-repo/semantics/submittedVersion
format article
status_str submittedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/10261/237334
url http://hdl.handle.net/10261/237334
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv http://dx.doi.org/10.1007/s12351-017-0309-6
Sí
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Springer Nature
publisher.none.fl_str_mv Springer Nature
dc.source.none.fl_str_mv reponame:DIGITAL.CSIC. Repositorio Institucional del CSIC
instname:Consejo Superior de Investigaciones Científicas (CSIC)
instname_str Consejo Superior de Investigaciones Científicas (CSIC)
reponame_str DIGITAL.CSIC. Repositorio Institucional del CSIC
collection DIGITAL.CSIC. Repositorio Institucional del CSIC
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15.81155

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