Capital Asset Pricing Model and Ordered Weighted Average Operator for Selecting Investment Portfolios
Cristhian R. Uzeta-Obregon,
Tanya S. Garcia-Gastelum,
Pavel A. Alvarez,
Cristhian Mellado-Cid,
Fabio Blanco-Mesa,
Ernesto Leon-Castro
Affiliations
Cristhian R. Uzeta-Obregon
Unidad Culiacan, Universidad Autonoma de Occidente, Culiacán 80020, Sinaloa, Mexico
Tanya S. Garcia-Gastelum
Unidad Culiacan, Universidad Autonoma de Occidente, Culiacán 80020, Sinaloa, Mexico
Pavel A. Alvarez
Unidad Culiacan, Universidad Autonoma de Occidente, Culiacán 80020, Sinaloa, Mexico
Cristhian Mellado-Cid
Faculty of Economics and Administrative Sciences, Universidad Católica de la Santísima Concepción, Concepción 4081393, Chile
Fabio Blanco-Mesa
Faculty of Economic and Administrative Sciences, School of Business Administration, Universidad Pedagogica y Tecnologica de Colombia, Tunja 150003, Colombia
Ernesto Leon-Castro
Faculty of Economics and Administrative Sciences, Universidad Católica de la Santísima Concepción, Concepción 4081393, Chile
The main objective of this article is to present the formulation of a Capital Asset Pricing Model ordered weighted average CAPMOWAand 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.
