Técnicas borrosas para el análisis de la sensibilidad en la selección de carteras con restricciones de diversificación

  1. Calvo López, Clara
  2. Ivorra Castillo, Carlos
  3. Liern Carrión, Vicente
Journal:
Rect@: Revista Electrónica de Comunicaciones y Trabajos de ASEPUMA

ISSN: 1575-605X

Year of publication: 2012

Volume: 13

Issue: 1

Pages: 119-128

Type: Article

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More publications in: Rect@: Revista Electrónica de Comunicaciones y Trabajos de ASEPUMA

Abstract

We use fuzzy set theory to obtain alternative solutions to the Portfolio Selection Problem that can better fit the inverstor´s preferences about the expected return and the corresponding risk of the efficient portfolio he or she finally chooses. We show by means of an example that, when diversification constraints are incorporated into the portfolio selection problem, the characteristics of the optimal efficient portfolio (composition, risk and expected return) can be very sensitive to small variations of the parameters asociated to the investor´s subjective preferences, and then the fuzzy alternatives provided by our method can substantially improve the investor´s satisfaction.

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