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Equity portfolio construction and selection using multiobjective mathematical programming

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  • Panagiotis Xidonas

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  • George Mavrotas
  • John Psarras
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    File URL: http://hdl.handle.net/10.1007/s10898-009-9465-4
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    Bibliographic Info

    Article provided by Springer in its journal Journal of Global Optimization.

    Volume (Year): 47 (2010)
    Issue (Month): 2 (June)
    Pages: 185-209

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    Handle: RePEc:spr:jglopt:v:47:y:2010:i:2:p:185-209

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    Web page: http://www.springer.com/business/operations+research/journal/10898

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    Related research

    Keywords: Portfolio optimization; Multiobjective mathematical programming; ε-Constraint method; Equities;

    References

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    1. Pardalos, Panos M & Sandstrom, Mattias & Zopounidis, Costas, 1994. "On the Use of Optimization Models for Portfolio Selection: A Review and Some Computational Results," Computational Economics, Society for Computational Economics, vol. 7(4), pages 227-44.
    2. Arenas Parra, M. & Bilbao Terol, A. & Rodriguez Uria, M. V., 2001. "A fuzzy goal programming approach to portfolio selection," European Journal of Operational Research, Elsevier, vol. 133(2), pages 287-297, January.
    3. Stone, Bernell K., 1973. "A Linear Programming Formulation of the General Portfolio Selection Problem," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(04), pages 621-636, September.
    4. Panagiotis Xidonas & John Psarras, 2009. "Equity portfolio management within the MCDM frame: a literature review," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 1(3), pages 285-309.
    5. Zopounidis, C., 1999. "Multicriteria decision aid in financial management," European Journal of Operational Research, Elsevier, vol. 119(2), pages 404-415, December.
    6. Charles D. Feinstein & Mukund N. Thapa, 1993. "Notes: A Reformulation of a Mean-Absolute Deviation Portfolio Optimization Model," Management Science, INFORMS, vol. 39(12), pages 1552-1553, December.
    7. Statman, Meir, 1987. "How Many Stocks Make a Diversified Portfolio?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(03), pages 353-363, September.
    8. Spronk, Jaap & Hallerbach, Winfried, 1997. "Financial modelling: Where to go? With an illustration for portfolio management," European Journal of Operational Research, Elsevier, vol. 99(1), pages 113-125, May.
    9. Spronk, J. & Hallerbach, W.G.P.M., 2002. "The Relevance of MCDM for Financial Decisions," ERIM Report Series Research in Management ERS-2002-69-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
    10. Jennings, Edward H., 1971. "An Empirical Analysis of Some Aspects of Common Stock Diversification," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(02), pages 797-813, March.
    11. Hallerbach, W.G.P.M. & Spronk, J., 2003. "A Multidimensional Framework for Financial-Economic Decisions," ERIM Report Series Research in Management ERS-2003-021-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
    12. Ehrgott, Matthias & Klamroth, Kathrin & Schwehm, Christian, 2004. "An MCDM approach to portfolio optimization," European Journal of Operational Research, Elsevier, vol. 155(3), pages 752-770, June.
    13. Fisher, Lawrence & Lorie, James H, 1970. "Some Studies of Variability of Returns on Investments in Common Stocks," The Journal of Business, University of Chicago Press, vol. 43(2), pages 99-134, April.
    14. Khoury, Nabil & Martel, Jean-Marc & Veilleux, Marc, 1993. "Méthode multicritère de sélection de portefeuilles indiciels internationaux," L'Actualité Economique, Société Canadienne de Science Economique, vol. 69(1), pages 171-190, mars.
    15. Chunhachinda, Pornchai & Dandapani, Krishnan & Hamid, Shahid & Prakash, Arun J., 1997. "Portfolio selection and skewness: Evidence from international stock markets," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 143-167, February.
    16. Brennan, M. J., 1975. "The Optimal Number of Securities in a Risky Asset Portfolio When There Are Fixed Costs of Transacting: Theory and Some Empirical Results," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(03), pages 483-496, September.
    17. Zopounidis, C & Despotis, D K & Kamaratou, I, 1998. "Portfolio Selection Using the ADELAIS Multiobjective Linear Programming System," Computational Economics, Society for Computational Economics, vol. 11(3), pages 189-204, June.
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    Cited by:
    1. A. Sanchez & Diego Martinez, 2011. "Optimization in Non-Standard Problems. An Application to the Provision of Public Inputs," Computational Economics, Society for Computational Economics, vol. 37(1), pages 13-38, January.
    2. Mansini, Renata & Ogryczak, Wlodzimierz & Speranza, M. Grazia, 2014. "Twenty years of linear programming based portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 518-535.
    3. Begoña Vitoriano & M. Ortuño & Gregorio Tirado & Javier Montero, 2011. "A multi-criteria optimization model for humanitarian aid distribution," Journal of Global Optimization, Springer, vol. 51(2), pages 189-208, October.

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