Received: 2020-08-18  |  Accepted: 2020-10-10  |  Published: 2020-12-30

Title

A multiobjective credibilistic portfolio selection model. Empirical study in the Latin American integrated market


Abstract

This paper extends the stochastic mean-semivariance model to a fuzzy multiobjective model, where apart from return and risk, also liquidity is considered to measure the performance of a portfolio. Uncertainty of future return and liquidity of each asset are modeled using L-R type fuzzy numbers that belong to the power reference function family. The decision process of this novel approach takes into account not only the multidimensional nature of the portfolio selection problem but also realistic constraints by investors. Particularly, it optimizes the expected return, the semivariance and the expected liquidity of a given portfolio, considering cardinality constraint and upper and lower bound constraints. The constrained portfolio optimization problem resulting is solved using the algorithm NSGA-II. As a novelty, in order to select the optimal portfolio, this study defines the credibilistic Sortino ratio as the ratio between the credibilistic risk premium and the credibilistic semivariance. An empirical study is included to show the effectiveness and efficiency of the model in practical applications using a data set of assets from the Latin American Integrated Market.


Keywords

fuzzy portfolio selection, L-R fuzzy numbers, credibility theory, mean-semivariance-liquidity, evolutionary multiobjective optimization, emerging financial markets


JEL classifications

G11 , G17


URI

http://jssidoi.org/jesi/article/744


DOI


Pages

1027-1046


Funding


This is an open access issue and all published articles are licensed under a
Creative Commons Attribution 4.0 International License

Authors

García, Fernando
Polytechnic University of Valencia, Valencia, Spain http://www.upv.es
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González-Bueno, Jairo
Pontifical Bolivarian University, Medellín, Colombia https://www.upb.edu.co
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Guijarro, Francisco
Polytechnic University of Valencia, Valencia, Spain http://www.upv.es
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Oliver, Javier
Polytechnic University of Valencia, Valencia, Spain http://www.upv.es
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Journal title

Entrepreneurship and Sustainability Issues

Volume

8


Number

2


Issue date

December 2020


Issue DOI


ISSN

ISSN 2345-0282 (online)


Publisher

VšĮ Entrepreneurship and Sustainability Center, Vilnius, Lithuania

Cited

Google Scholar

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References