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 |
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| container_title | Journal of global optimization |
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| creator | Xidonas, Panagiotis Mavrotas, George Psarras, John |
| description | 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. |
| doi_str_mv | 10.1007/s10898-009-9465-4 |
| format | Article |
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ε
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| issn | 0925-5001 1573-2916 |
| language | eng |
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| source | SpringerNature Journals |
| subjects | 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 |
| title | Equity portfolio construction and selection using multiobjective mathematical programming |
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