Portfolio construction on the Athens stock exchange: a multiobjective optimization approach

DOI10.1080/02331930903085375MaRDI QIDQ3066930zbMATH OpenOpenAlexFDO

Authors Panagiotis Xidonas, George Mavrotas, John Psarras

Publication date 20 January 2011

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331930903085375

zbMATH Keywords

portfolio constructionmultiobjective mathematical programmingequities

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Portfolio theory (91G10)

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Cites work

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• scientific article; zbMATH DE number 1738108 (Why is no real title available?)
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• Computational experience concerning payoff tables and minimum criterion values over the efficient set
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• Extending the MAD portfolio optimization model to incorporate downside risk aversion
• Financial modelling: Where to go? With an illustration for portfolio management
• LP solvable models for portfolio optimization: a classification and computational comparison
• Mean-risk models using two risk measures: a multi-objective approach
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• Multiple criteria linear programming model for portfolio selection
• Multi‐criteria decision aid in financial decision making: methodologies and literature review
• Notes: A Reformulation of a Mean-Absolute Deviation Portfolio Optimization Model
• Portfolio selection using the ADELAIS multiobjective linear programming system
• Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection

Cited in

(11)

• An integrated approach for stock evaluation and portfolio optimization
• Portfolio selection with a minimax measure in safety constraint
• Optimization of a highway project planning using a modified genetic algorithm
• Global portfolio construction with emphasis on conflicting corporate strategies to maximize stockholder wealth
• A portfolio optimization model with three objectives and discrete variables
• Multiobjective portfolio optimization: bridging mathematical theory with asset management practice
• Matrix representation of a binary relation using fuzzy and artificial learning theory. An algorithm which uses the potential functions learning rule
• LR-NIMBUS: an interactive algorithm for uncertain multiobjective optimization with lightly robust efficient solutions
• Equity portfolio construction and selection using multiobjective mathematical programming
• Multi-criteria optimization in regression
• Twenty years of linear programming based portfolio optimization

Describes a project that uses

Uses Software

• GAMS
• COMBAT

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