0000000000056679
AUTHOR
Clara Calvo
On X-saturated formations of finite groups
[EN] In the paper, a Frattini-like subgroup associated with a class X of simple groups is introduced and analysed. The corresponding X-saturated formations are exactly the X-local ones introduced by Förster. Our techniques are also very useful to highlight the properties and behaviour of omega-local formations. In fact, extensions and improvements of several results of Shemetkov are natural consequences of our study.
Controlling risk through diversification in portfolio selection with non-historical information
We deal with the portfolio selection problem for investors having information on the expected returns of the assets based not only on historical data. In the absence of a way of measuring the risk of non-historical information, the investor may try to adjust it through the consideration of a suitable set of diversification constraints. With this aim, we relate the concept of value of information (recently introduced by Kao and Steuer) to a qualitative subjective measure of the investor’s level of confidence in his/her non-historical information. As an illustration, we analyze the behavior of the proposed indicator in the Spanish IBEX35 index for risk, upper bound, semicontinuous variable an…
Products of formations of finite groups
[EN] In this paper criteria for a product of formations to be X-local, X a class of simple groups, are obtained. Some classical results on products of saturated formations appear as particular cases.
Finding socially responsible portfolios close to conventional ones
Abstract An increasing number of investors are interested in sustainable, responsible and impact investment (SRI). However, there is a concern about the possible financial sacrifice associated to this kind of investments. The design of Decision Support Systems assisting socially responsible investors in their investment decisions can contribute to stimulate SRI. In this paper the financial content of a portfolio selection model is discussed in order to justify that it can be integrated into a Decision Support System designed for investors interested in socially responsible investment but initially reluctant to pay a financial cost in exchange for increasing the social responsibility of thei…
Grading investment diversification options in presence of non-historical financial information
Modern portfolio theory deals with the problem of selecting a portfolio of financial assets such that the expected return is maximized for a given level of risk. The forecast of the expected individual assets’ returns and risk is usually based on their historical returns. In this work, we consider a situation in which the investor has non-historical additional information that is used for the forecast of the expected returns. This implies that there is no obvious statistical risk measure any more, and it poses the problem of selecting an adequate set of diversification constraints to mitigate the risk of the selected portfolio without losing the value of the non-statistical information owne…
On the Computation of the Efficient Frontier of the Portfolio Selection Problem
An easy-to-use procedure is presented for improving theε-constraint method for computing the efficient frontier of the portfolio selection problem endowed with additional cardinality and semicontinuous variable constraints. The proposed method provides not only a numerical plotting of the frontier but also an analytical description of it, including the explicit equations of the arcs of parabola it comprises and the change points between them. This information is useful for performing a sensitivity analysis as well as for providing additional criteria to the investor in order to select an efficient portfolio. Computational results are provided to test the efficiency of the algorithm and to i…
Fuzzy Techniques for Improving Satisfaction in Economic Decisions
The authors use fuzzy set theory to improve classical decision-making problems by incorporating the inherent vagueness in decision-makers’ preferences into the model. They specifically study two representative models: the p-median problem and the portfolio selection problem. The first one is a location problem, which on the one hand fits many real world management situations and on the other hand is suitable for a theoretical analysis of the techniques. The version of the portfolio selection problem presented here is a harder problem, which allows the authors to show the scope of their methods. Some numerical examples are provided to illustrate how fuzzy optimal solutions improve classical …
Fuzzy portfolio selection based on the analysis of efficient frontiers
We present an algorithm for analyzing the geometry of the efficient frontier of the portfolio selection problem with semicontinuous variable and cardinality constraints, and use it as a basis to solve a fuzzy version of the problem, designed to obtain efficient portfolios, in the Markowitz's sense, for which the trade-off between expected return and assumed risk fits better the investor's subjective criteria. We illustrate our proposal with an example solved with LINGO and Mathematica.
On partially saturated formations of finite groups
Various types of partially saturated formations and connections between them are considered. It is shown that partially saturated formations can be characterized as classes of finite groups with generalized central series. A theorem on the decomposition of an FG-module into a sum of two submodules with special properties is proved.Bibliography: 26 titles.
Fuzzy Portfolio Selection Models for Dealing with Investor’s Preferences
This chapter provides an overview of the authors’ previous work about dealing with investor’s preferences in the portfolio selection problem. We propose a fuzzy model for dealing with the vagueness of investor preferences on the expected return and the assumed risk, and then we consider several modifications to include additional constraints and goals.
Soft Computing Techniques for Portfolio Selection: Combining SRI with Mean-Variance Goals
A fuzzy portfolio selection model is presented incorporating a socially responsible goal without discarding a priori financially good portfolios or weakening a priori the financial goals. Hence, the optimal portfolios it provides could be either efficient from the strictly financial point of view or non-efficient if leaving the efficient frontier substantially improves the degree of social responsibility. The model can be used to direct heuristic procedures in order to select a reduced number of various alternatives from which the investor can directly make a final decision.
A question from the Kourovka Notebook on formation products
[EN] It is shown in this paper that if X is a class of simple groups such that pi(X) = char X, the X-saturated formation H generated by a finite group cannot be expressed as the Gaschütz product F o G of two non-X-saturated formations if H = G. It answers some open questions on products of formations. The relation between omega-saturated and X-saturated formations is also discussed.