- Tytuł:
- An interactive compromise programming for portfolio investment problem
- Autorzy:
- Karelkina, Olga
- Powiązania:
- https://bibliotekanauki.pl/articles/2050029.pdf
- Data publikacji:
- 2020
- Wydawca:
- Polska Akademia Nauk. Instytut Badań Systemowych PAN
- Tematy:
-
modern portfolio theory
Markowitz model
meanvariance portfolio optimization
interactive multicriteria optimization
parameterized achievement scalarizing functions - Opis:
- This paper addresses an approach for solving multicriteria portfolio investment problem. The original Markowitz mean-variance model is formulated as a problem of bi-objective optimization with linear and quadratic objective functions. In the current work, this model is extended by introducing a new objective, reflecting asset properties that are useful for the portfolio allocation process. A method based on parameterized achievement scalarizing function is applied to produce Pareto optimal portfolios. A mathematical programming formulation that allows for solving the problem with conventional optimization methods is presented. In addition, a method of reflecting the decision maker’s preferences by means of changing the weights in the achievement scalarizing functions is introduced. A decision making process is simulated for the three-objective portfolio optimization problem.
- Źródło:
-
Control and Cybernetics; 2020, 49, 2; 193-210
0324-8569 - Pojawia się w:
- Control and Cybernetics
- Dostawca treści:
- Biblioteka Nauki
Artykuł