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Autor
Juszczuk Przemysław (University of Economics in Katowice, Poland), Kaliszewski Ignacy (Polish Academy of Sciences), Miroforidis Janusz (Polish Academy of Sciences)
Tytuł
Trade-Off Guided Search for Approximate Pareto Optimal Portfolios
Źródło
Multiple Criteria Decision Making / University of Economics in Katowice, 2017, vol. 12, s. 49-59, rys., bibliogr. 22 poz.
Słowa kluczowe
Portfel inwestycyjny, Optymalizacja, Optimum Pareto, Teoria portfelowa Markowitza
Investment portfolio, Optimalization, Pareto optimality, Markowitz portfolio theory
Uwagi
summ.
Abstrakt
In this paper, we attempt to represent the Pareto Front in the Markowitz mean-variance model by two-sided discrete approximations. We discuss the possibility of using such approximations for portfolio selection. The potential of the approach is illustrated by the results of preliminary numerical experiments.(original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej w Warszawie
Pełny tekst
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Bibliografia
Pokaż
  1. Beasley J.E. OR-Library (1991), http://people.brunel.ac.uk/_mastjjb/jeb/info.html (10 July 2017).
  2. Briec W., Kerstens K., van de Woestynec I. (2013), Portfolio Selection with Skewness: A Comparison of Methods and a Generalized One Fund Result, European Journal of Operational Research, 230(2), 412-421.
  3. Chen Y., Mabu S., Hirasawa K. (2011), General Relation Algorithm with Guided Mutation for the Large-scale Portfolio Optimization, Expert Systems with Applications, 38, 3353-3363.
  4. Chiam S., Tan K., Mamum A.A. (2008), Evolutionary Multi-objective Portfolio Optimization in Practical Context, International Journal of Automation and Computing, 5(1), 67-80.
  5. Deb K., Steuer R.E., Tewari R., Tewari R. (2011), Bi-objective Portfolio Optimization Using a Customized Hybrid NSGA-II Procedure [in:] EMO 2011, eds. R.H.C. Tekahashi et al., LNCS, Springer-Verlag, Berlin, Heidelberg, 6576, 358-373.
  6. Ehrgott M. (2005), Multicriteria Optimization, Springer.
  7. Elton E.J., Gruber M.J., Brown S.J., Goetzmann W.N. (2014), Modern Portfolio Theory and Investment Analysis, Wiley.
  8. Gondzio J., Grothey A. (2007), Solving Nonlinear Portfolio Optimization Problems with the Primal-Dual Interior Point Method, European Journal of Operational Research, 181(3), 1019-1029.
  9. Kaliszewski I. (2006), Soft Computing for Complex Multiple Criteria Decision Making, Springer.
  10. Kaliszewski I., Miroforidis J. (2009), Multiple Criteria Decision Making: E_cient Outcome Assessments with Evolutionary Optimization [in:] Communications in Computer and Information Science Volume 35, Cutting-Edge Research Topics on Multiple Criteria Decision Making, 20th International Conference, MCDM 2009, Chengdu/Jiuzhaigou, China, June 21-26, 2009, Proceedings, Springer, 25-28.
  11. Kaliszewski I., Miroforidis J. (2010), Multiple Criteria Decision Making: From Exact to Heuristic Optimization [in:] Multiple Criteria Decision Making '09, eds. T. Trzaskalik, T. Wachowicz, The University of Economics in Katowice, 113-120.
  12. Kaliszewski I., Miroforidis J. (2012), Real and Virtual Pareto Set Upper Approximations [in:] Multiple Criteria Decision Making '11, eds. T. Trzaskalik, T. Wachowicz, The Publisher of University of Economics in Katowice, 121-131.
  13. Kaliszewski I., Miroforidis J., Podkopaev D. (2012a), Interactive Multiple Criteria Decision Making Based on Preference Driven Evolutionary Multiobjective Optimization with Controllable Accuracy, European Journal of Operational Research, 216, 188-199.
  14. Kaliszewski I., Miroforidis I., Podkopaev D. (2016), Multiple Criteria Decision Making by Multiobjective Optimization - A Toolbox, Springer.
  15. Lo A.W., Petrov C., Wierzbicki M. (2003), It's 11pm { Do You Know Where Your Liquidity Is? The Mean-varianceliquidity Frontier, Journal of Investment Management, 1(1), 55-93.
  16. Markowitz H.M. (1952), Portfolio Selection, Journal of Finance, 7, 77-91.
  17. Markowitz H.M. (1991), Portfolio Selection: E_cient Diversi_cation of Investments, Wiley, Monograph / Cowles Foundation for Research in Economics at Yale University, Wiley.
  18. Miettinen K.M. (1999), Nonlinear Multiobjective Optimization, Kluwer Academic Publishers.
  19. Miroforidis J. (2010), Decision Making Aid for Operational Management of Department Stores with Multiple Criteria Optimization and Soft Computing, PhD Thesis, Systems Research Institute, Warsaw.
  20. Steuer R.E., Qi Y., Hirschberger M. (2011), Comparative Issues in Large-scale Meanvariance Efficient Frontier Computation, Decision Support Systems, 51(2), 250-255.
  21. Steuer R.E., Qi Y., Hirschberger M. (2006), Portfolio Optimization: New Capabilities and Future Methods, Journal of Business Economics, 76(2), 199-220.
  22. Wierzbicki A.P. (1999), Reference Point Approaches, Multicriteria Decision Making Advances in MCDM Models, Algorithms, Theory, and Applications, International Series in Operations Research and Management Science, Springer, 237-275.
Cytowane przez
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ISSN
2084-1531
Język
eng
URI / DOI
http://dx.doi.org/10.22367/mcdm.2017.12.04
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