Técnicas borrosas para el análisis de la sensibilidad en la selección de carteras con restricciones de diversificación

Abstract

We use fuzzy set theory to obtain alternative solutions to the Portfolio Selection Problemthat can better fit the inverstor’s preferences about the expected return and the corresponding risk of theefficient portfolio he or she finally chooses. We show by means of an example that, when diversificationconstraints are incorporated into the portfolio selection problem, the characteristics of the optimal efficientportfolio (composition, risk and expected return) can be very sensitive to small variations of the parametersasociated to the investor’s subjective preferences, and then the fuzzy alternatives provided by our methodcan substantially improve the investor’s satisfaction.

Keywords

• Portfolio selection
• Sensitivity analysis
• Fuzzy optimization