Using homogeneous groupings in portfolio management

Authors:
Jaime Gil-Aluja;Anna M. Gil-Lafuente;José M. Merigó
Affiliations:
Department of Business Administration, Rovira i Virgili University, Av. de la Universitat 1, 43204 Reus, Spain;Department of Business Administration, University of Barcelona, Av. Diagonal 690, 08034 Barcelona, Spain;Department of Business Administration, University of Barcelona, Av. Diagonal 690, 08034 Barcelona, Spain
Venue:
Expert Systems with Applications: An International Journal
Year:
2011

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Abstract

Often, in situations of uncertainty in portfolio management, it is difficult to apply the numerical methods based on the linearity principle. When this happens it is possible to use nonnumeric techniques to assess the situations with a nonlinear attitude. One of the concepts that can be used in these situations is the concept of grouping. In the last 30 years, several studies have tried to give good solutions to the problems of homogeneous groupings. For example, we could mention the Pichat algorithm, the affinities algorithms and several studies developed by the authors of this work. In this paper, we use some topological axioms in order to develop an algorithm that is able to reduce the number of elements of the power sets of the related sets by connecting them to the sets that form the topologies. We will apply this algorithm in the grouping of titles listed in the Stock Exchange or in its dual perspective.