ISBN:
9780857244703
Content:
This chapter presents selected multiobjective methods for multiperiod portfolio optimization problem. Portfolio models are formulated as multicriteria mixed integer programs. Reference point method together with weighting approach is proposed. The portfolio selection problem considered is based on a multiperiod model of investment, in which the investor buys and sells securities in successive investment periods. The problem objective is to allocate the wealth on different securities to optimize the portfolio expected return, the probability that the return is not less than a required level. Multiobjective methods were used to find tradeoffs between risk, return, and the number of securities in the portfolio. In computational experiments the data set of daily quotations from the Warsaw Stock Exchange were used.
In:
Applications in multi-criteria decision making, data envelopment analysis, and finance, Bingley : Emerald, 2010, (2010), Seite 3-34, 9780857244703
In:
Emerald Group Publishing Limited
In:
year:2010
In:
pages:3-34
Language:
English
DOI:
10.1108/S0276-8976(2010)0000014004
URL:
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