Integrated Decision Support System for Portfolio Selection with Enhanced Behavioral Content

Cristinca Fulga ()
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Cristinca Fulga: Department of Applied Mathematics The Bucharest University of Economic Studies

ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, 2017, vol. 51, issue 3, 127-142

Abstract: The portfolio selection problem is a crucial problem that every investor at individual or institutional level has to deal with. There is a vast amount of literature about systems designed to support portfolio management decisions with a large diversity in focus and approach. However, even if it is well known that all decisions depend on decision maker’s preferences, the preferences are not represented satisfactorily in most systems. In this paper, we propose a decision support system design for portfolio selection that relies on an optimization model with enhanced behavioural content based on the stochastic programming paradigm. The proposed system is capable of supporting loss averse investors in the complex task of selecting portfolios that are simultaneously optimal from the reward-risk viewpoint and suitable for investor’s specific loss aversion profile.

Keywords: Decision support system; loss aversion; risk measure; utility function; portfolio optimization. (search for similar items in EconPapers)
JEL-codes: C02 C61 G11 (search for similar items in EconPapers)
Date: 2017
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