Portfolio Selection by Compromise Programming

Enrique Ballestero, David Pla-Santamaria (), Ana Garcia-Bernabeu () and Adolfo Hilario ()
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Enrique Ballestero: Universitat Politècnica de València
David Pla-Santamaria: Universitat Politècnica de València
Ana Garcia-Bernabeu: Universitat Politècnica de València
Adolfo Hilario: Plaza Ferrándiz y Carbonell s/n

Chapter Chapter 9 in Socially Responsible Investment, 2015, pp 177-196 from Springer

Abstract: Abstract CP is a deterministic model like WGP in this aspect. Therefore, CP seems inappropriate to select stock portfolios from the Eu(R) maximization theory. In contrast to MV-SGP model, CP does not generalize Markowitz M-V model to multiple objectives. This lack of strictness is mitigated by the linkage between CP and utility theory established in Chap. 8. This linkage allows us to extend utility properties to CP approaches. We show the CP setting for portfolio selection by establishing and graphing its main elements: profitability-safety efficient frontier, ideal point and the bounds of Yu compromise set, which is the landing area on which the profitability-safety utility function reaches its maximum. From these variables, expected return and safety, the portfolio selection problem is defined in terms of CP.

Keywords: Ideal Point; Portfolio Selection; Efficient Frontier; Portfolio Selection Problem; Compromise Programming (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/978-3-319-11836-9_9

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