ORDERED WEIGHTED AVERAGING AGGREGATION METHOD FOR PORTFOLIO SELECTION

摘要

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