ORDERED WEIGHTED AVERAGINGAGGREGATION METHOD FOR PORTFOLIO SELECTION-中国期刊网

摘要 Portfoliomanagementisatypicaldecisionmakingproblemunderincomplete,sometimesunknown,information.Thispaperconsiderstheportfolioselectionproblemsunderageneralsettingofuncertainstateswithoutprobability.Theinvestor'spreferenceisbasedonhisoptimumdegreeaboutthenature,andhisattitudecanbedescribedbyanOrderedWeightedAveragingAggregationfunction.WeconstructtheOWAportfolioselectionmodel,whichisanonlinearprogrammingproblem.Theproblemcanbeequivalentlytransformedintoamixedintegerlinearprogramming.Anumericalexampleisgivenandthesolutionsimplythattheinvestor'sstrategiesdependnotonlyonhisoptimumdegreebutalsoonhispreferenceweightvector.Thegeneralgame-theoreticalportfolioselectionmethod,max-minmethodandcompetitiveratiomethodareallthespecialsettingsofthismodel.

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ORDERED WEIGHTED AVERAGINGAGGREGATION METHOD FOR PORTFOLIO SELECTION

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ORDERED WEIGHTED AVERAGINGAGGREGATION METHOD FOR PORTFOLIO SELECTION

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