Risk-Controlled Multiobjective Portfolio Selection Problem Using a Principle of Compromise

Takashi Hasuike and Hideki Katagiri

Mathematical Problems in Engineering, 2014, vol. 2014, 1-7

Abstract:

This paper proposes a multiobjective portfolio selection problem with most probable random distribution derived from current market data and other random distributions of boom and recession under the risk-controlled parameters determined by an investor. The current market data and information include not only historical data but also interpretations of economists’ oral and linguistic information, and hence, the boom and recession are often caused by these nonnumeric data. Therefore, investors need to consider several situations from most probable condition to boom and recession and to avoid the risk less than the target return in each situation. Furthermore, it is generally difficult to set random distributions of these cases exactly. Therefore, a robust-based approach for portfolio selection problems using the only mean values and variances of securities is proposed as a multiobjective programming problem. In addition, an exact algorithm is developed to obtain an explicit optimal portfolio using a principle of compromise.

Date: 2014
References: Add references at CitEc
Citations:

Downloads: (external link)
http://downloads.hindawi.com/journals/MPE/2014/232375.pdf (application/pdf)
http://downloads.hindawi.com/journals/MPE/2014/232375.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:232375

DOI: 10.1155/2014/232375

Access Statistics for this article

More articles in Mathematical Problems in Engineering from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().