Portfolio selection on the Madrid Exchange: a compromise programming model

DOI10.1111/1475-3995.00391MaRDI QIDQ4806912zbMATH OpenOpenAlexFDO

Authors Enrique Ballestero, David Plá-Santamaría

Publication date 23 June 2003

Published in International Transactions in Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1475-3995.00391

zbMATH Keywords

utilitydecision analysisportfolio selection

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16)

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Cites work

• scientific article; zbMATH DE number 3945836 (Why is no real title available?)
• A review of planning and scheduling systems and methods for integrated steel production
• An application of zero-one goal programming in project selection and resource planning -- a case study from the Woodward Governor Company
• Application of goal programming in project selection decision -- a case study from the Indian coal mining industry
• Computing compromise sets in polyhedral framework
• On the monotonicity of the compromise set in multicriteria problems
• Project finance: a multi-criteria approach to arbitration
• The Efficiency Analysis of Choices Involving Risk

Cited in

(21)

• scientific article; zbMATH DE number 1418023 (Why is no real title available?)
• Portfolio selection from multiple benchmarks: a goal programming approach to an actual case
• Selecting the optimum portfolio using fuzzy compromise programming and Sharpe's single-index model
• Market collective wisdom discovery for portfolio investments
• Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models
• Portfolio selection: should investors include crypto‐assets? A multiobjective approach
• Portfolio selection under strict uncertainty: a multi-criteria methodology and its application to the Frankfurt and Vienna stock exchanges
• Multi-criteria decision analysis with goal programming in engineering, management and social sciences: a state-of-the art review
• Selecting the best risk measure in multiobjective cash management
• Common stock portfolio selection: a multiple criteria decision making methodology and an application to the Athens stock exchange
• Portfolio Selection with Multiple Time Horizons: A Mean Variance—Stochastic Goal Programming Approach
• Equity portfolio construction and selection using multiobjective mathematical programming
• Geometric compromise programming: application in portfolio selection
• scientific article; zbMATH DE number 1530368 (Why is no real title available?)
• Photovoltaic power plants: a multicriteria approach to investment decisions and a case study in western Spain
• An interactive compromise programming for portfolio investment problem
• Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection
• On constructing expert Betas for single-index model
• Selecting Portfolios Given Multiple Eurostoxx-Based Uncertainty Scenarios: A Stochastic Goal Programming Approach from Fuzzy Betas
• Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming
• Financial portfolio management through the goal programming model: current state-of-the-art

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