Equity portfolio construction and selection using multiobjective mathematical programming

Equity portfolio construction and selection using multiobjective mathematical programming

A multi-objective mixed integer programming model for equity portfolio construction and selection is developed in this study, in order to generate the Pareto optimal portfolios, using a novel version of the well known ε -constraint method. Subsequently, an interactive filtering process is also propo...

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Veröffentlicht in:Journal of global optimization 2010-06, Vol.47 (2), p.185-209
Hauptverfasser: Xidonas, Panagiotis, Mavrotas, George, Psarras, John
Format: Artikel
Sprache:eng
Schlagworte:
Capital markets
Computer Science
Construction
Equity
Feedback
Integer programming
Investment policy
Investments
Investors
Mathematical programming
Mathematics
Mathematics and Statistics
Multiple criteria decision making
Operations Research/Decision Theory
Optimization
Pareto optimum
Planning
Portfolio management
Portfolio performance
Real Functions
Stock exchanges
Studies
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Beschreibung
Zusammenfassung:A multi-objective mixed integer programming model for equity portfolio construction and selection is developed in this study, in order to generate the Pareto optimal portfolios, using a novel version of the well known ε -constraint method. Subsequently, an interactive filtering process is also proposed to assist the decision maker in making his/her final choice among the Pareto solutions. The proposed methodology is tested through an application in the Athens Stock Exchange.
ISSN:0925-5001
1573-2916
DOI:10.1007/s10898-009-9465-4