A more human-like portfolio optimization approach

DOI10.1016/J.EJOR.2016.06.018MaRDI QIDQ1752192zbMATH OpenOpenAlexFDO

Authors Thuener Silva, Marcus Poggi, Placido Rogerio Pinheiro

Publication date 24 May 2018

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2016.06.018

zbMATH Keywords

asset allocationBlack-Littermandecision support systemsportfolio optimizationverbal decision analysis

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 1600672 (Why is no real title available?)
• scientific article; zbMATH DE number 3350922 (Why is no real title available?)
• Inverse optimization: a new perspective on the Black-Litterman model
• Optimal Portfolio Diversification Using the Maximum Entropy Principle
• Ranking multicriteria alternatives: The method ZAPROS III
• Robust asset allocation

Cited in

(6)

• Determining the fuzzy measures in multiple criteria decision aiding from the tolerance perspective
• Portfolio optimization with entropic value-at-risk
• Horses for courses: mean-variance for asset allocation and \(1/N\) for stock selection
• Copula-based Black-Litterman portfolio optimization
• A novel methodology for perception-based portfolio management
• Another look at portfolio optimization with mental accounts

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