A. M. Garcia-Bernabeu, D. Pla-Santamaria, A. Hilario-Caballero, J. V. Salcedo

Este trabajo desarrolla una nueva propuesta para incluir las preferencias de los inversores tanto en la fase de estimación de la frontera eficiente como en la fase de toma de decisiones utilizando el concepto de direcciones preferentes. En la fase de la optimización se integran los criterios se sostenibilidad o criterios ASG como un tercer objetivo utilizando el algoritmo elitista ev-MOGA. La ventaja de este algoritmo es que genera una superficie eficiente uniformemente distribuida. Para incluir las preferencias del inversor en el proceso de construcción de la cartera óptima, se puede optar por dos vías: (i) A priori: se redefine el problema de optimización en la fase de estimación de la superficie eficiente incluyendo las direcciones preferentes sin necesidad de modificar el algoritmo; (ii) A posteriori: en la fase de toma de decisiones las direcciones preferentes cambian la forma en que se calcula la norma euclídea (distancia entre el ideal y la frontera).

Keywords: Preferencias del decisor, Optimización Multi-objetivo, Algoritmos evolutivos, Criterios ASG

Scheduled

GT03 Multicriteria Decision III
June 7, 2022  4:50 PM
A16


Other papers in the same session

Camino más corto multicriterio con métodos de ranking

I. Mariñas del Collado, M. Álvarez Díaz, S. Montes Rodríguez


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