An interactive compromise programming for portfolio investment problem

• Autorzy: Karelkina Olga
• Języki publikacji: EN

Abstrakty

EN

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.

Słowa kluczowe

EN

modern portfolio theory; Markowitz model; meanvariance portfolio optimization; interactive multicriteria optimization; parameterized achievement scalarizing functions

• Wydawca: Systems Research Institute, Polish Academy of Sciences
• Czasopismo: Control and Cybernetics
• Rocznik: 2020
• Tom: Vol. 49, No. 2
• Strony: 193--210
• Opis fizyczny: Bibliogr. 22 poz., rys., tab.

Twórcy

autor

Karelkina Olga

• Systems Research Institute, Polish Academy of Sciences, Newelska 6, 01447Warszawa, Poland

Bibliografia

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Uwagi

Opracowanie rekordu ze środków MNiSW, umowa Nr 461252 w ramach programu "Społeczna odpowiedzialność nauki" - moduł: Popularyzacja nauki i promocja sportu (2021).