Títol | Characterizing compromise solutions for investors with uncertain risk preferences |

Publication Type | Journal Article |

Year of Publication | 2017 |

Authors | Salas-Molina F [1], Rodríguez-Aguilar JA [2], Pla-Santamaria D [3] |

Journal | Operational Research: An International Journal |

Editor | Springer |

ISSN | 1866-1505 |

Paraules clau | compromise programming [4], discrete efficient-frontiers [5], Finance [6], performance prediction [7], portfolio selection [8] |

Resum | 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 under- standing is possible if the decision-maker is provided with visual and quantita- tive 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 uncer- tain risk preferences; and (iii) two quality metrics useful to predict long-run performance of investors. |