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A multiobjective interval portfolio framework for supporting investor’s preferences under different risk assumptions

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  • Carla Oliveira Henriques
  • Maria Elisabete Duarte Neves

Abstract

This paper is aimed at presenting a multiobjective interval portfolio framework which considers investment decisions under different risk assumptions. New surrogate problems are obtained for the mean-absolute deviation risk measure based on the concept of necessary subtraction between interval numbers. A proposal for obtaining the efficient portfolio solutions is also suggested, which allows accounting for three types of investment strategies. Indices of robustness have also been computed, which allow assessing the assets which are more often selected irrespective of the investment strategy followed, and regardless of the business cycle contemplated. Results illustrate the trade-off between risk and return, being also consistent with the type of strategy followed by the investor. Overall, we were able to conclude that less prone to risk investors might find the formulation based on the mean-absolute necessary deviation more appealing since it allows reaching, in general, lower volatility of returns.

Suggested Citation

  • Carla Oliveira Henriques & Maria Elisabete Duarte Neves, 2019. "A multiobjective interval portfolio framework for supporting investor’s preferences under different risk assumptions," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 70(10), pages 1639-1661, October.
    • Handle: RePEc:taf:tjorxx:v:70:y:2019:i:10:p:1639-1661
    DOI: 10.1080/01605682.2019.1571004
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    Cited by:

    1. Carla Oliveira Henriques & Dulce Helena Coelho & Maria Elisabete Duarte Neves, 2022. "Investment planning in energy efficiency programs: a portfolio based approach," Operational Research, Springer, vol. 22(1), pages 615-649, March.
    2. Ahmed Imran Hunjra & Suha Mahmoud Alawi & Sisira Colombage & Uroosa Sahito & Mahnoor Hanif, 2020. "Portfolio Construction by Using Different Risk Models: A Comparison among Diverse Economic Scenarios," Risks, MDPI, vol. 8(4), pages 1-23, November.
    3. Carla Oliveira Henriques & Maria Elisabete Neves & Licínio Castelão & Duc Khuong Nguyen, 2022. "Assessing the performance of exchange traded funds in the energy sector: a hybrid DEA multiobjective linear programming approach," Annals of Operations Research, Springer, vol. 313(1), pages 341-366, June.

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