OWA Operators in Portfolio Selection

Portfolio choice is the process of selecting the optimal proportion of various assets. One of the most well-known methods is the mean-variance approach developed by Harry Markowitz. This paper introduces the ordered weighted average (OWA) in the mean-variance model. The key idea is that the mean and the variance can be extended with the OWA operator being able to consider different degrees of optimism or pessimism in the analysis. Thus, this method can adapt to a wide range of scenarios providing a deeper representation of the available information from the most pessimistic situation to the most optimistic one.

http://link.springer.com/chapter/10.1007%2F978-3-319-19704-3_5