ORDERED WEIGHTED AVERAGING AGGREGATION METHOD FOR PORTFOLIO SELECTION

作     者：LIUShancun QIUWanhua 

作者机构：SchoolofEconomicsandManagementBeijingUniversityofAeronauticsandAstronauticsBeijing100083China 

出 版 物：《Journal of Systems Science & Complexity》 (系统科学与复杂性学报（英文版）)

年 卷 期：2004年第17卷第1期

页      面：109-116页

核心收录：

学科分类：12[管理学] 02[经济学] 0202[经济学-应用经济学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 020204[经济学-金融学（含∶保险学）] 07[理学] 070105[理学-运筹学与控制论] 0701[理学-数学] 

主　　题：portfolio selection game-theoretical portfolio selection ordered weightedaveraging aggregation method mixed integer linear programming 

摘      要：Portfolio management is a typical decision making problem under incomplete,sometimes unknown, information. This paper considers the portfolio selection problemsunder a general setting of uncertain states without probability. The investor s preferenceis based on his optimum degree about the nature, and his attitude can be described by anOrdered Weighted Averaging Aggregation function. We construct the OWA portfolio selection model, which is a nonlinear programming problem. The problem can be equivalentlytransformed into a mixed integer linear programming. A numerical example is given andthe solutions imply that the investor s strategies depend not only on his optimum degreebut also on his preference weight vector. The general game-theoretical portfolio selectionmethod, max-min method and competitive ratio method are all the special settings of thismodel.