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Scientific Methods for the Treatment of Uncertainty in Social Sciences pp 53–64Cite as

OWA Operators in Portfolio Selection

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Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 377))

Abstract

Portfolio choice is the process of selecting the optimal proportion of various assets. One of the most well-known methods is the mean-variance approach developed by Harry Markowitz. This paper introduces the ordered weighted average (OWA) in the mean-variance model. The key idea is that the mean and the variance can be extended with the OWA operator being able to consider different degrees of optimism or pessimism in the analysis. Thus, this method can adapt to a wide range of scenarios providing a deeper representation of the available information from the most pessimistic situation to the most optimistic one.

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Author information

Authors and Affiliations

  1. Department of Management Control and Information Systems, University of Chile, Av. Diagonal Paraguay 257, 8030015, Santiago, Chile

    Sigifredo Laengle, Gino Loyola & José M. Merigó

Authors
  1. Sigifredo Laengle
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  2. Gino Loyola
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  3. José M. Merigó
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Corresponding author

Correspondence to Sigifredo Laengle .

Editor information

Editors and Affiliations

  1. Royal Academy of Economic and Financial Sciences (RACEF), Barcelona, Spain

    Jaime Gil-Aluja

  2. Department of Business Management, Universitat Rovira i Virgili Faculty of Business and Economics, Reus, Spain

    Antonio Terceño-Gómez

  3. Department of Business Administration, University of Girona, Girona, Spain

    Joan Carles Ferrer-Comalat

  4. Department of Management Control and Information Systems, University of Chile, Santiago, Chile

    José M. Merigó-Lindahl

  5. Department of Business Administration, University of Girona, Girona, Spain

    Salvador Linares-Mustarós

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© 2015 Springer International Publishing Switzerland

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Laengle, S., Loyola, G., Merigó, J.M. (2015). OWA Operators in Portfolio Selection. In: Gil-Aluja, J., Terceño-Gómez, A., Ferrer-Comalat, J., Merigó-Lindahl, J., Linares-Mustarós, S. (eds) Scientific Methods for the Treatment of Uncertainty in Social Sciences. Advances in Intelligent Systems and Computing, vol 377. Springer, Cham. https://doi.org/10.1007/978-3-319-19704-3_5

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  • DOI: https://doi.org/10.1007/978-3-319-19704-3_5

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-19703-6

  • Online ISBN: 978-3-319-19704-3

  • eBook Packages: EngineeringEngineering (R0)

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