Listar por autor "Ruiz, Ana B."

Mostrando ítems 1-3 de 3

Evolutionary multi-objective optimization algorithms for fuzzy portfolio selection

Saborido, Rubén; Ruiz, Ana B.; Bermúdez, José D.; Vercher, Enriqueta; Luque, Mariano (2015)

In this paper, we consider a recently proposed model for portfolio selection, called Mean-Downside Risk-Skewness (MDRS) model. This modelling approach takes into account both the multidimensional nature of the portfolio ...
On the use of the Lp distance in reference point-based approaches for multiobjective optimization

Luque, Mariano; Ruiz, Ana B.; Saborido, Rubén; Marcenaro-Gutiérrez, Óscar D. (Springer, 2015)

Reference point-based methods are very useful techniques for solving multiobjective optimization problems. In these methods, the most commonly used achievement scalarizing functions are based on the Tchebychev distance ...
Preference-based evolutionary multi-objective optimization for portfolio selection: a new credibilistic model under investor preferences

Ruiz, Ana B.; Saborido, Rubén; Bermúdez, José D.; Luque, Mariano; Vercher, Enriqueta (Springer, 2019)

We propose a new credibility portfolio selection model, in which a measure of loss aversion is introduced as an objective function, joint to the expected value of the returns and the below-mean absolute semi-deviation as ...