Portfolio Optimization

Panos Xidonas, George Mavrotas, Theodore Krintas, John Psarras and Constantin Zopounidis
Additional contact information
Panos Xidonas: National Technical University of Athens
George Mavrotas: National Technical University of Athens
Theodore Krintas: Attica Wealth Management
John Psarras: National Technical University of Athens
Constantin Zopounidis: Technical University of Crete

Chapter Chapter 4 in Multicriteria Portfolio Management, 2012, pp 57-83 from Springer

Abstract: Abstract In this chapter, we strongly advocate a multicriteria approach to address the problem of portfolio construction and selection, taking into account: (a) the limits related to the Markowitz conventional theory, the results from the estimation of the models, and the philosophy of the single-objective optimization approach; and (b) the behavior of investors, who, in addition to the above-mentioned anomalies, could have additional criteria in mind, beyond risk and return. To address these issues effectively, we present an integrated and innovative methodological approach, within the frame of multiobjective mathematical programming (MMP), for constructing and selecting equity portfolios.

Keywords: Portfolio Construction; Single-objective Optimization Approach; General Algebraic Modeling System (GAMS); GAMS Model; Extreme Efficient Solutions (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:spr:spochp:978-1-4614-3670-6_4

Ordering information: This item can be ordered from
http://www.springer.com/9781461436706

DOI: 10.1007/978-1-4614-3670-6_4

Access Statistics for this chapter

More chapters in Springer Optimization and Its Applications from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().