Capital Asset Pricing Model and Ordered Weighted Average Operator for Selecting Investment Portfolios

被引：0

作者：

Uzeta-Obregon, Cristhian R. ^{[1
]}

Garcia-Gastelum, Tanya S. ^{[1
]}

Alvarez, Pavel A. ^{[1
]}

Mellado-Cid, Cristhian ^{[2
]}

Blanco-Mesa, Fabio ^{[3
]}

Leon-Castro, Ernesto ^{[2
]}

机构：

[1] Univ Autonoma Occidente, Unidad Culiacan, Culiacan 80020, Sinaloa, Mexico

[2] Univ Catolica Santisima Concepcion, Fac Econ & Adm Sci, Concepcion 4081393, Chile

[3] Univ Pedag & Tecnol Colombia, Fac Econ & Adm Sci, Sch Business Adm, Tunja 150003, Colombia

来源：

AXIOMS | 2024年 / 13卷 / 10期

关键词：

CAPM; OWA operator; Bonferroni OWA; portfolio investment; DECISION-MAKING; AGGREGATION OPERATORS; EXCHANGE-RATE; VARIANCE; RISK;

D O I：

10.3390/axioms13100660

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

The main objective of this article is to present the formulation of a Capital Asset Pricing Model ordered weighted average CAPMOWA and its extensions, called CAPM-induced OWA (CAPMIOWA), CAPM Bonferroni OWA (CAPMBon-OWA), and CAPM Bonferroni-induced OWA CAPMBon-IOWA. A step-by-step process for applying this new proposal in a real case of formulating investment portfolios is generated. These methods show several scenarios, considering the attitude, preferences, and relationship of each argument, when underestimation or overestimation of the information by the decision maker may influence the decision-making process regarding portfolio investments. Finally, the complexity of the method and the incorporation of soft information into the modeling process lead to generating a greater number of scenarios and reflect the attitudes and preferences of decision makers.

引用

页数：21

共 50 条

[1] CAPITAL ASSET PRICING MODEL AND INVESTMENT HORIZON
LEVHARI, D
LEVY, H
REVIEW OF ECONOMICS AND STATISTICS, 1977, 59 (01) : 92 - 104
[2] Hedging and Leveraging: Principal Portfolios of the Capital Asset Pricing Model
Partovi, M. Hossein
ECONOMICS BULLETIN, 2013, 33 (04): : 2930 - 2937
[3] INVESTMENT DECISIONS USING CAPITAL ASSET PRICING MODEL
WESTON, JF
FINANCIAL MANAGEMENT, 1973, 2 (01) : 25 - 33
[4] TheQ theory of investment, the capital asset pricing model, and asset valuation: a synthesis
John F. McDonald
Journal of Zhejiang University-SCIENCE A, 2004, 5 (5): : 499 - 508
[5] The Q theory of investment,the capital asset pricing model,and asset valuation:a synthesis
MCDONALD John F.
Journal of Zhejiang University Science, 2004, (05) : 2 - 11
[6] THE CAPITAL-ASSET PRICING MODEL AND THE INVESTMENT HORIZON - COMMENT
HAWAWINI, GA
VORA, A
REVIEW OF ECONOMICS AND STATISTICS, 1981, 63 (04) : 633 - 636
[7] INVESTMENT POLICY IMPLICATIONS OF THE CAPITAL-ASSET PRICING MODEL
GRAUER, RR
JOURNAL OF FINANCE, 1981, 36 (01): : 127 - 141
[8] INVESTMENT HORIZON AND FUNCTIONAL FORM OF CAPITAL ASSET PRICING MODEL
LEE, CF
REVIEW OF ECONOMICS AND STATISTICS, 1976, 58 (03) : 356 - 363
[9] THE CAPITAL-ASSET PRICING MODEL AND THE INVESTMENT HORIZON - REPLY
LEVHARI, D
LEVY, H
REVIEW OF ECONOMICS AND STATISTICS, 1981, 63 (04) : 637 - 638
[10] CORPORATE-INVESTMENT RULES IN A CAPITAL ASSET PRICING MODEL
HARRIS, RS
AMERICAN ECONOMIST, 1976, 20 (01): : 37 - 43

← 1 2 3 4 5 →