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Listar por autor "Bermúdez, José D."
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Evolutionary multi-objective optimization algorithms for fuzzy portfolio selection
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 ... -
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 ...