|Títol||Characterizing compromise solutions for investors with uncertain risk preferences|
|Publication Type||Journal Article|
|Year of Publication||2017|
|Authors||Salas-Molina F, Rodríguez-Aguilar JA, Pla-Santamaria D|
|Journal||Operational Research: An International Journal|
|Paraules clau||compromise programming, discrete efficient-frontiers, Finance, performance prediction, portfolio selection|
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.
- Quant a IIIA