- Tytuł:
- A reference point approach to bi-objective dynamic portfolio optimization
- Autorzy:
- Sawik, B.
- Powiązania:
- https://bibliotekanauki.pl/articles/375931.pdf
- Data publikacji:
- 2009
- Wydawca:
- Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
- Tematy:
-
dynamic portfolio
mixed-integer programming
reference point method
bi-objective optimization
value-at-risk - Opis:
- The portfolio selection problem presented in this paper is formulated as a bi-objective mixed integer program. The portfolio selection problem considered is based on a dynamic model of investment, in which the investor buys and sells securities in successive investment periods. The problem objective is to dynamically allocate the wealth on different securities to optimize by reference point method the portfolio expected return and the probability that the return is not less than a required level. In computational experiments the dataset of daily quotations from the Warsaw Stock Exchange were used.
- Źródło:
-
Decision Making in Manufacturing and Services; 2009, 3, 1-2; 73-85
1896-8325
2300-7087 - Pojawia się w:
- Decision Making in Manufacturing and Services
- Dostawca treści:
- Biblioteka Nauki
Artykuł