| Title | 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 |
| Publisher | Springer |
| ISSN | 1866-1505 |
| Keywords | compromise programming, discrete efficient-frontiers, Finance, performance prediction, portfolio selection |
| Abstract | 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. |
