Yager considered the problem of maximizing an OWA aggregation of a group of variables that are interrelated and constrained by a collection of linear inequalities and he showed how this problem can be modelled as a mixed integer linear programming problem. In this short communication we show a...

The mean-variance methodology for the portfolio selection problem, originally proposed by Markowitz, has been one of the most important research fields in modern finance. In this paper we will assume that (i) each investor can assign a welfare, or utility, score to competing investment...