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Dr. García Fernando
Universitat Politècnica de València, Spain

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0 Financial Markets
0 Investment Strategies
0 Sustainability
0 ESG
0 Socially responsible investment

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Journal article
Published: 24 February 2021 in Mathematics
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This paper proposes the use of a goal programming model for the objective ranking of universities. This methodology has been successfully used in other areas to analyze the performance of firms by focusing on two opposite approaches: (a) one favouring those performance variables that are aligned with the central tendency of the majority of the variables used in the measurement of the performance, and (b) an alternative one that favours those different, singular, or independent performance variables. Our results are compared with the ranking proposed by two popular World University Rankings, and some insightful differences are outlined. We show how some top-performing universities occupy the best positions regardless of the approach followed by the goal programming model, hence confirming their leadership. In addition, our proposal allows for an objective quantification of the importance of each variable in the performance of universities, which could be of great interest to decision-makers.

ACS Style

Fernando García; Francisco Guijarro; Javier Oliver. A Multicriteria Goal Programming Model for Ranking Universities. Mathematics 2021, 9, 459 .

AMA Style

Fernando García, Francisco Guijarro, Javier Oliver. A Multicriteria Goal Programming Model for Ranking Universities. Mathematics. 2021; 9 (5):459.

Chicago/Turabian Style

Fernando García; Francisco Guijarro; Javier Oliver. 2021. "A Multicriteria Goal Programming Model for Ranking Universities." Mathematics 9, no. 5: 459.

Journal article
Published: 30 December 2020 in Insights into Regional Development
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ACS Style

Kiran Javaria; Omar Masood; Fernando Garcia. Strategies to manage the risks faced by consumers in developing e-commerce. Insights into Regional Development 2020, 2, 774 -783.

AMA Style

Kiran Javaria, Omar Masood, Fernando Garcia. Strategies to manage the risks faced by consumers in developing e-commerce. Insights into Regional Development. 2020; 2 (4):774-783.

Chicago/Turabian Style

Kiran Javaria; Omar Masood; Fernando Garcia. 2020. "Strategies to manage the risks faced by consumers in developing e-commerce." Insights into Regional Development 2, no. 4: 774-783.

Journal article
Published: 30 December 2020 in Entrepreneurship and Sustainability Issues
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ACS Style

Fernando García; Jairo González-Bueno; Francisco Guijarro; Javier Oliver. A multiobjective credibilistic portfolio selection model. Empirical study in the Latin American integrated market. Entrepreneurship and Sustainability Issues 2020, 8, 1027 -1046.

AMA Style

Fernando García, Jairo González-Bueno, Francisco Guijarro, Javier Oliver. A multiobjective credibilistic portfolio selection model. Empirical study in the Latin American integrated market. Entrepreneurship and Sustainability Issues. 2020; 8 (2):1027-1046.

Chicago/Turabian Style

Fernando García; Jairo González-Bueno; Francisco Guijarro; Javier Oliver. 2020. "A multiobjective credibilistic portfolio selection model. Empirical study in the Latin American integrated market." Entrepreneurship and Sustainability Issues 8, no. 2: 1027-1046.

Journal article
Published: 08 October 2020 in Technological and Economic Development of Economy
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The present research proposes a novel methodology to solve the problems faced by investors who take into consideration different investment criteria in a fuzzy context. The approach extends the stochastic mean-variance model to a fuzzy multiobjective model where liquidity is considered to quantify portfolio’s performance, apart from the usual metrics like return and risk. The uncertainty of the future returns and the future liquidity of the potential assets are modelled employing trapezoidal fuzzy numbers. The decision process of the proposed approach considers that portfolio selection is a multidimensional issue and also some realistic constraints applied by investors. Particularly, this approach optimizes the expected return, the risk and the expected liquidity of the portfolio, considering bound constraints and cardinality restrictions. As a result, an optimization problem for the constraint portfolio appears, which is solved by means of the NSGA-II algorithm. This study defines the credibilistic Sortino ratio and the credibilistic STARR ratio for selecting the optimal portfolio. An empirical study on the S&P100 index is included to show the performance of the model in practical applications. The results obtained demonstrate that the novel approach can beat the index in terms of return and risk in the analyzed period, from 2008 until 2018.

ACS Style

Fernando Garcia; Jairo González-Bueno; Francisco Guijarro; Javier Oliver; Rima Tamošiūnienė. MULTIOBJECTIVE APPROACH TO PORTFOLIO OPTIMIZATION IN THE LIGHT OF THE CREDIBILITY THEORY. Technological and Economic Development of Economy 2020, 26, 1165 -1186.

AMA Style

Fernando Garcia, Jairo González-Bueno, Francisco Guijarro, Javier Oliver, Rima Tamošiūnienė. MULTIOBJECTIVE APPROACH TO PORTFOLIO OPTIMIZATION IN THE LIGHT OF THE CREDIBILITY THEORY. Technological and Economic Development of Economy. 2020; 26 (6):1165-1186.

Chicago/Turabian Style

Fernando Garcia; Jairo González-Bueno; Francisco Guijarro; Javier Oliver; Rima Tamošiūnienė. 2020. "MULTIOBJECTIVE APPROACH TO PORTFOLIO OPTIMIZATION IN THE LIGHT OF THE CREDIBILITY THEORY." Technological and Economic Development of Economy 26, no. 6: 1165-1186.

Journal article
Published: 20 April 2020 in Sustainability
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The environmental, social, and governance (ESG) rating of firms is a useful tool for stakeholders and investment decision-makers. This paper develops a rough set model to relate ESG scores to popular corporate financial performance measures. This methodology permits handling with information in an uncertain, ambiguous, and imperfect context. A large database was gathered, including ESG scores, as well as industry sector and financial variables for publicly traded European companies during the period 2013–2018. We carried out 500 simulations of the rough set model for different values in the discretization parameter and different grouping scenarios of firms regarding ESG scores. The results suggest that the variables considered are useful in the prediction of ESG rank when firms are clustered in three or four equally balanced groups. However, the prediction power vanishes when a larger number of groups is computed. This would suggest that industry sector and financial variables serve to find big differences across firms regarding ESG, but the significance of the model drops when small differences in ESG performance are scrutinized.

ACS Style

Fernando García; Jairo González-Bueno; Francisco Guijarro; Javier Oliver. Forecasting the Environmental, Social, and Governance Rating of Firms by Using Corporate Financial Performance Variables: A Rough Set Approach. Sustainability 2020, 12, 3324 .

AMA Style

Fernando García, Jairo González-Bueno, Francisco Guijarro, Javier Oliver. Forecasting the Environmental, Social, and Governance Rating of Firms by Using Corporate Financial Performance Variables: A Rough Set Approach. Sustainability. 2020; 12 (8):3324.

Chicago/Turabian Style

Fernando García; Jairo González-Bueno; Francisco Guijarro; Javier Oliver. 2020. "Forecasting the Environmental, Social, and Governance Rating of Firms by Using Corporate Financial Performance Variables: A Rough Set Approach." Sustainability 12, no. 8: 3324.

Journal article
Published: 01 January 2020 in Finance, Markets and Valuation
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Trading strategies have attracted the attention of academic researchers and practitioners for a long time, but most specially in recent years due to the explosion of high-quality databases and computation capacity. Numerous studies are devoted to the analysis and proposal of trading strategies which cover aspects such as trend prediction, variables selection, technical analysis, pattern recognition etc. and apply many different methodologies. This paper conducts a meta-literature review which covers 1187 research articles from 1984 to 2020. The aim of this paper is to show the increasing importance of the topic and present a systematic study of the leading research areas, countries, institutions and authors contributing to this field. Moreover, a network analysis to identify the main research streams and future research opportunities is conducted.

ACS Style

Javier Oliver-Muncharaz; Fernando García. Leading research trends on trading strategies. Finance, Markets and Valuation 2020, 6, 27 -54.

AMA Style

Javier Oliver-Muncharaz, Fernando García. Leading research trends on trading strategies. Finance, Markets and Valuation. 2020; 6 (2):27-54.

Chicago/Turabian Style

Javier Oliver-Muncharaz; Fernando García. 2020. "Leading research trends on trading strategies." Finance, Markets and Valuation 6, no. 2: 27-54.

Journal article
Published: 01 January 2020 in Finance, Markets and Valuation
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The mission of Spanish universities is to serve society by promoting the improvement of quality of life, culture and economic development. This objective is achieved through teaching, research, transfer and dissemination of knowledge. It is essential to ensure that the actions and strategies implemented by Spanish universities are guided by these objectives, which is why a quality control policy is essential. Within this policy, the comparison with foreign universities may be interesting, and institutions controlling for universities' quality are tempted to use international university rankings prepared by companies as a substitute for a more in-depth and adequate analysis. In this work it is verified that the most cited international rankings do not evaluate the quality, but the prestige of the universities based on mainly bibliometric criteria and surveys. In this way, a very partial view of the universities is obtained that does not consider the different functions that they have been entrusted with, at least in the case of Spain. Finally, some of the risks involved in using these rankings as guides in the definition of Spanish university policy are noted.

ACS Style

F. García. International university rankings as indicators for the quality of the Spanish universities. Finance, Markets and Valuation 2020, 6, 69 -84.

AMA Style

F. García. International university rankings as indicators for the quality of the Spanish universities. Finance, Markets and Valuation. 2020; 6 (1):69-84.

Chicago/Turabian Style

F. García. 2020. "International university rankings as indicators for the quality of the Spanish universities." Finance, Markets and Valuation 6, no. 1: 69-84.

Journal article
Published: 15 December 2019 in Entrepreneurship and Sustainability Issues
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Entrepreneurship and Sustainability Issues is a peer-reviewed journal which publishes original research papers and case studies

ACS Style

Iván Arribas; María Dolores Espinós-Vañó; Fernando García; Javier Oliver. Defining socially responsible companies according to retail investors’ preferences. Entrepreneurship and Sustainability Issues 2019, 7, 1641 -1653.

AMA Style

Iván Arribas, María Dolores Espinós-Vañó, Fernando García, Javier Oliver. Defining socially responsible companies according to retail investors’ preferences. Entrepreneurship and Sustainability Issues. 2019; 7 (2):1641-1653.

Chicago/Turabian Style

Iván Arribas; María Dolores Espinós-Vañó; Fernando García; Javier Oliver. 2019. "Defining socially responsible companies according to retail investors’ preferences." Entrepreneurship and Sustainability Issues 7, no. 2: 1641-1653.

Journal article
Published: 01 June 2019 in Entrepreneurship and Sustainability Issues
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Entrepreneurship and Sustainability Issues is a peer-reviewed journal which publishes original research papers and case studies

ACS Style

Iván Arribas; María Dolores Espinós-Vañó; Fernando García; Rima Tamošiūnienė. Negative screening and sustainable portfolio diversification. Entrepreneurship and Sustainability Issues 2019, 6, 1566 -1586.

AMA Style

Iván Arribas, María Dolores Espinós-Vañó, Fernando García, Rima Tamošiūnienė. Negative screening and sustainable portfolio diversification. Entrepreneurship and Sustainability Issues. 2019; 6 (4):1566-1586.

Chicago/Turabian Style

Iván Arribas; María Dolores Espinós-Vañó; Fernando García; Rima Tamošiūnienė. 2019. "Negative screening and sustainable portfolio diversification." Entrepreneurship and Sustainability Issues 6, no. 4: 1566-1586.

Journal article
Published: 28 April 2019 in Sustainability
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We propose a multi-objective approach for portfolio selection, which allows investors to consider not only return and downside risk criteria but also to include environmental, social and governance (ESG) scores in the investment decision-making process. Owing to the uncertain environment of portfolio selection, the return and ESG score of each asset are considered as independent L-R power fuzzy variables. To make the model more realistic, we take budget, floor ceiling and cardinality constraints into account. In order to select the optimal portfolio along the efficient frontier, we apply the Sortino ratio in a credibilistic environment. The subsequent empirical application uses a data set from Bloomberg's ESG Data in combination with US Dow Jones Industrial Average data. The experimental results show that the proposed model offers promising results for socially responsible investors seeking ethical and sustainability goals beyond the return-risk trade-off and its ability to beat the benchmark.

ACS Style

Fernando García; Jairo González-Bueno; Javier Oliver; Nicola Riley. Selecting Socially Responsible Portfolios: A Fuzzy Multicriteria Approach. Sustainability 2019, 11, 2496 .

AMA Style

Fernando García, Jairo González-Bueno, Javier Oliver, Nicola Riley. Selecting Socially Responsible Portfolios: A Fuzzy Multicriteria Approach. Sustainability. 2019; 11 (9):2496.

Chicago/Turabian Style

Fernando García; Jairo González-Bueno; Javier Oliver; Nicola Riley. 2019. "Selecting Socially Responsible Portfolios: A Fuzzy Multicriteria Approach." Sustainability 11, no. 9: 2496.

Journal article
Published: 06 April 2019 in Sustainability
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Social rating agencies implement complex filters to identify the companies with the best sustainable and social performance and help investors select the companies for their sustainable portfolios. This study analysed whether companies that are defined as ethical, sustainable and socially responsible by those agencies actually deserve this label. More specifically, the inclusion in the prestigious Dow Jones Sustainability Index (DJSI) World of companies that have been involved in controversies according to the Thomson Reuters Eikon database was studied. The results show that the inclusion of irresponsible companies in the DJSI Index is a fact. This outcome is in line with previous studies that criticise the methodologies applied by social rating agencies and those which outline the similarity of sustainable and conventional portfolios. The results may explain the contradictory conclusions regarding the performance of sustainable and conventional mutual funds in numerous studies.

ACS Style

Iván Arribas; María Dolores Espinós-Vañó; Fernando García; Paula Beatriz Morales-Bañuelos. The Inclusion of Socially Irresponsible Companies in Sustainable Stock Indices. Sustainability 2019, 11, 2047 .

AMA Style

Iván Arribas, María Dolores Espinós-Vañó, Fernando García, Paula Beatriz Morales-Bañuelos. The Inclusion of Socially Irresponsible Companies in Sustainable Stock Indices. Sustainability. 2019; 11 (7):2047.

Chicago/Turabian Style

Iván Arribas; María Dolores Espinós-Vañó; Fernando García; Paula Beatriz Morales-Bañuelos. 2019. "The Inclusion of Socially Irresponsible Companies in Sustainable Stock Indices." Sustainability 11, no. 7: 2047.

Journal article
Published: 07 March 2019 in Journal of Business Economics and Management
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Many real-world problems in the financial sector have to consider different objectives which are conflicting, for example portfolio selection. Markowitz proposed an approach to determine the optimal composition of a portfolio analysing the trade-off between return and risk. Nevertheless, this approach has been criticized for unrealistic assumptions and several changes have been proposed to incorporate investors’ constraints and more realistic risk measures. In this line of research, our proposal extends the mean-semivariance portfolio selection model to a multiobjective credibilistic model that besides risk and return, also considers the price-to-earnings ratio to measure portfolio performance. Uncertain future returns and PER ratio of each asset are approximated using L-R power fuzzy numbers. Furthermore, we consider budget, bound and cardinality constraints. To solve the constrained portfolio optimization problem, we use the algorithm NSGA-II. We assess the proposed approach generating a portfolio with shares included in the Latin American Integrated Market. Results show that this new approach is a good alternative to solve the portfolio selection problem when multiple objectives are considered.

ACS Style

Fernando García; Jairo González-Bueno; Javier Oliver; Rima Tamošiūnienė. A CREDIBILISTIC MEAN-SEMIVARIANCE-PER PORTFOLIO SELECTION MODEL FOR LATIN AMERICA. Journal of Business Economics and Management 2019, 20, 225 -243.

AMA Style

Fernando García, Jairo González-Bueno, Javier Oliver, Rima Tamošiūnienė. A CREDIBILISTIC MEAN-SEMIVARIANCE-PER PORTFOLIO SELECTION MODEL FOR LATIN AMERICA. Journal of Business Economics and Management. 2019; 20 (2):225-243.

Chicago/Turabian Style

Fernando García; Jairo González-Bueno; Javier Oliver; Rima Tamošiūnienė. 2019. "A CREDIBILISTIC MEAN-SEMIVARIANCE-PER PORTFOLIO SELECTION MODEL FOR LATIN AMERICA." Journal of Business Economics and Management 20, no. 2: 225-243.

Journal article
Published: 01 January 2019 in Finance, Markets and Valuation
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In Spain, the functions assigned to the University are varied and have changed over time. Currently, it is considered that university activity should be focused on improving the well-being of the society in which the university is located. Thus, any quality control of the Spanish university system must consider whether the university is fulfilling the purposes that society has assigned to it. In Spain, the task of quality control of universities is mainly assigned to the National Agency for Quality Assessment and Accreditation (ANECA). In principle, through different programs, this agency evaluates different aspects of the Universities. However, as can be seen in this research, the control activity is limited to university degrees and the activity of the teaching staff. Moreover, this control hardly measures to what extent the University system is achieving its goals.

ACS Style

F. García. International university rankings as a quality measure for the Spanish universities. Finance, Markets and Valuation 2019, 5, 33 -44.

AMA Style

F. García. International university rankings as a quality measure for the Spanish universities. Finance, Markets and Valuation. 2019; 5 (2):33-44.

Chicago/Turabian Style

F. García. 2019. "International university rankings as a quality measure for the Spanish universities." Finance, Markets and Valuation 5, no. 2: 33-44.

Journal article
Published: 21 November 2018 in Technological and Economic Development of Economy
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Intraday trading rules require accurate information about the future short term market evolution. For that reason, next-day market trend prediction has attracted the attention of both academics and practitioners. This interest has increased in recent years, as different methodologies have been applied to this end. Usually, machine learning techniques are used such as artificial neural networks, support vector machines and decision trees. The input variables of most of the studies are traditional technical indicators which are used by professional traders to implement investment strategies. We analyse if these indicators have predictive power on the German DAX-30 stock index by applying a hybrid fuzzy neural network to predict the one-day ahead direction of index. We implement different models depending on whether all the indicators and oscillators are used as inputs, or if a linear combination of them obtained through a factor analysis is used instead. In order to guarantee for the robustness of the results, we train and apply the HyFIS models on randomly selected subsamples 10,000 times. The results show that the reduction of the dimension through the factorial analysis generates more profitable and less risky strategies.

ACS Style

Fernando García; Francisco Guijarro; Javier Oliver; Rima Tamošiūnienė. HYBRID FUZZY NEURAL NETWORK TO PREDICT PRICE DIRECTION IN THE GERMAN DAX-30 INDEX. Technological and Economic Development of Economy 2018, 24, 2161 -2178.

AMA Style

Fernando García, Francisco Guijarro, Javier Oliver, Rima Tamošiūnienė. HYBRID FUZZY NEURAL NETWORK TO PREDICT PRICE DIRECTION IN THE GERMAN DAX-30 INDEX. Technological and Economic Development of Economy. 2018; 24 (6):2161-2178.

Chicago/Turabian Style

Fernando García; Francisco Guijarro; Javier Oliver; Rima Tamošiūnienė. 2018. "HYBRID FUZZY NEURAL NETWORK TO PREDICT PRICE DIRECTION IN THE GERMAN DAX-30 INDEX." Technological and Economic Development of Economy 24, no. 6: 2161-2178.

Journal article
Published: 01 January 2018 in Finance, Markets and Valuation
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A main problem for socially responsible investors is deciding which companies should be included in their investment portfolio. Small investors may decide not to invest in companies they know are not behaving responsibly. Therefore, discredited companies will not be included in their portfolios, as they will understand those companies cannot be defined as ethical. To implement this procedure properly and apply it to big portfolios is a complex exercise which requires big amounts of information and the problems faced by investors applying such exclusion criteria to select their portfolio.

ACS Style

I. Arribas-Fernández; M.D. Espinós-Vañó; F. García. The difficulty of applying exclusion criteria in ethical portfolios. Finance, Markets and Valuation 2018, 4, 35 -50.

AMA Style

I. Arribas-Fernández, M.D. Espinós-Vañó, F. García. The difficulty of applying exclusion criteria in ethical portfolios. Finance, Markets and Valuation. 2018; 4 (2):35-50.

Chicago/Turabian Style

I. Arribas-Fernández; M.D. Espinós-Vañó; F. García. 2018. "The difficulty of applying exclusion criteria in ethical portfolios." Finance, Markets and Valuation 4, no. 2: 35-50.

Journal article
Published: 01 January 2018 in Finance, Markets and Valuation
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This paper compares the return obtained by two of the most important stock indices in Spain: the con-ventional index IBEX 35 and the ethical index FTSE4Good Ibex. The aim of the study is to check whetherthe screening process to select only socially responsible companies has a negative impact on the returnby the ethical index. The results show that this is not the case, as the correlation between both indicesis very high. This high correlation is due to the fact that both indices are composed by almost the samecompanies. This outcome releases the question of what could be the purpose of an ethical index which isso similar to the conventional one, even regarding companies’ selection.

ACS Style

M. D. Espinós-Vañó; F. García; J. Oliver. The ethical index FTSE4GOOD IBEX as an alternative for passive portfolio strategies in Spain. Finance, Markets and Valuation 2018, 4, 85 -93.

AMA Style

M. D. Espinós-Vañó, F. García, J. Oliver. The ethical index FTSE4GOOD IBEX as an alternative for passive portfolio strategies in Spain. Finance, Markets and Valuation. 2018; 4 (1):85-93.

Chicago/Turabian Style

M. D. Espinós-Vañó; F. García; J. Oliver. 2018. "The ethical index FTSE4GOOD IBEX as an alternative for passive portfolio strategies in Spain." Finance, Markets and Valuation 4, no. 1: 85-93.

Original article
Published: 17 February 2017 in Neural Computing and Applications
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The aim of this study was to compare the performance of the well-known genetic algorithms and tabu search heuristics with the financial problem of the partial tracking of a stock market index. Although the weights of each stock in a tracking portfolio can be efficiently determined by means of quadratic programming, identifying the appropriate stocks to include in the portfolio is an NP-hard problem which can only be addressed by heuristics. Seven real-world indexes were used to compare the above techniques, and results were obtained for different tracking portfolio cardinalities. The results show that tabu search performs more efficiently with both real and artificial indexes. In general, the tracking portfolios obtained performed well in both in-sample and out-of-sample periods, so that these heuristics can be considered as appropriate solutions to the problem of tracking an index by means of a small subset of stocks.

ACS Style

Fernando Garcia; Francisco Guijarro; Javier Oliver. Index tracking optimization with cardinality constraint: a performance comparison of genetic algorithms and tabu search heuristics. Neural Computing and Applications 2017, 30, 2625 -2641.

AMA Style

Fernando Garcia, Francisco Guijarro, Javier Oliver. Index tracking optimization with cardinality constraint: a performance comparison of genetic algorithms and tabu search heuristics. Neural Computing and Applications. 2017; 30 (8):2625-2641.

Chicago/Turabian Style

Fernando Garcia; Francisco Guijarro; Javier Oliver. 2017. "Index tracking optimization with cardinality constraint: a performance comparison of genetic algorithms and tabu search heuristics." Neural Computing and Applications 30, no. 8: 2625-2641.

Conference paper
Published: 02 July 2015 in 1st INTERNATIONAL CONFERENCE ON BUSINESS MANAGEMENT - “NEW CHALLENGES IN BUSINESS RESEARCH" - Conference proceedings
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There are many economic agents interested in valuing big amounts of real estate assets. One of these agents are the financial institutions, which must value their vast mortgage portfolios periodically. In this paper we analyze the use of the Hierarchical Linear Model to value real estate portfolios. This model gives valuable information compared with the traditional OLS models and is more accurate, as it takes into account the hierarchical structure of the data. DOI: http://dx.doi.org/10.4995/ICBM.2015.1314

ACS Style

Ivan Arribas; Fernando Garcia Garcia; Francisco Guijarro; Javier Oliver. The Convenience of Applying Multilevel Modeling on Real Estate Valuation. 1st INTERNATIONAL CONFERENCE ON BUSINESS MANAGEMENT - “NEW CHALLENGES IN BUSINESS RESEARCH" - Conference proceedings 2015, 1 .

AMA Style

Ivan Arribas, Fernando Garcia Garcia, Francisco Guijarro, Javier Oliver. The Convenience of Applying Multilevel Modeling on Real Estate Valuation. 1st INTERNATIONAL CONFERENCE ON BUSINESS MANAGEMENT - “NEW CHALLENGES IN BUSINESS RESEARCH" - Conference proceedings. 2015; ():1.

Chicago/Turabian Style

Ivan Arribas; Fernando Garcia Garcia; Francisco Guijarro; Javier Oliver. 2015. "The Convenience of Applying Multilevel Modeling on Real Estate Valuation." 1st INTERNATIONAL CONFERENCE ON BUSINESS MANAGEMENT - “NEW CHALLENGES IN BUSINESS RESEARCH" - Conference proceedings , no. : 1.

Conference paper
Published: 01 January 2014 in The 8th International Scientific Conference "Business and Management 2014"
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ACS Style

Fernando Garcia; Francisco Guijarro; Javier Oliver. Modelling Conditional Volatility In Stock Indices: A Comparison Of The Arma-Egarch Model Versus Neuronal Network Backpropagation. The 8th International Scientific Conference "Business and Management 2014" 2014, 1 .

AMA Style

Fernando Garcia, Francisco Guijarro, Javier Oliver. Modelling Conditional Volatility In Stock Indices: A Comparison Of The Arma-Egarch Model Versus Neuronal Network Backpropagation. The 8th International Scientific Conference "Business and Management 2014". 2014; ():1.

Chicago/Turabian Style

Fernando Garcia; Francisco Guijarro; Javier Oliver. 2014. "Modelling Conditional Volatility In Stock Indices: A Comparison Of The Arma-Egarch Model Versus Neuronal Network Backpropagation." The 8th International Scientific Conference "Business and Management 2014" , no. : 1.

Journal article
Published: 23 September 2013 in Journal of Business Economics and Management
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Index tracking seeks to minimize the unsystematic risk component by imitating the movements of a reference index. Partial index tracking only considers a subset of the stocks in the index, enabling a substantial cost reduction in comparison with full tracking. Nevertheless, when heterogeneous investment profiles are to be satisfied, traditional index tracking techniques may need different stocks to build the different portfolios. The aim of this paper is to propose a methodology that enables a fund's manager to satisfy different clients’ investment profiles but using in all cases the same subset of stocks, and considering not only one particular criterion but a compromise between several criteria. For this purpose we use a mathematical programming model that considers the tracking error variance, the excess return and the variance of the portfolio plus the curvature of the tracking frontier. The curvature is not defined for a particular portfolio, but for all the portfolios in the tracking frontier. This way funds’ managers can offer their clients a wide range of risk-return combinations just picking the appropriate portfolio in the frontier, all of these portfolios sharing the same shares but with different weights. An example of our proposal is applied on the S&P 100.

ACS Style

Fernando Garcia; Francisco Guijarro; Ismael Moya. A MULTIOBJECTIVE MODEL FOR PASSIVE PORTFOLIO MANAGEMENT: AN APPLICATION ON THE S&P 100 INDEX. Journal of Business Economics and Management 2013, 14, 758 -775.

AMA Style

Fernando Garcia, Francisco Guijarro, Ismael Moya. A MULTIOBJECTIVE MODEL FOR PASSIVE PORTFOLIO MANAGEMENT: AN APPLICATION ON THE S&P 100 INDEX. Journal of Business Economics and Management. 2013; 14 (4):758-775.

Chicago/Turabian Style

Fernando Garcia; Francisco Guijarro; Ismael Moya. 2013. "A MULTIOBJECTIVE MODEL FOR PASSIVE PORTFOLIO MANAGEMENT: AN APPLICATION ON THE S&P 100 INDEX." Journal of Business Economics and Management 14, no. 4: 758-775.