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Interactive portfolio selection involving multicriteria sorting models

Author

Listed:
  • Ali Tlili

    (Université Paris-Saclay)

  • Oumaima Khaled

    (Université Paris-Saclay)

  • Vincent Mousseau

    (Université Paris-Saclay)

  • Wassila Ouerdane

    (Université Paris-Saclay)

Abstract

Given a set of items, the portfolio selection problem involves selecting a subset of the items subject to resource constraints. We propose in this paper a multiobjective interactive approach based on a constrained Non-Compensatory Sorting model which integrates preferences both on items and portfolios in the same device. More precisely, we combine two evaluations models. The first one assigns items into two categories ( Good / Bad ) and model resource limitation using weighted cardinality constraints in such a way that the portfolio is composed of the items assigned to the good category. The second evaluation level compares portfolios on a set of portfolio-related criteria. We learn the constrained sorting model, based on a learning set, with SAT/MaxSAT language, which proves to be efficient for the preference learning task.

Suggested Citation

  • Ali Tlili & Oumaima Khaled & Vincent Mousseau & Wassila Ouerdane, 2023. "Interactive portfolio selection involving multicriteria sorting models," Annals of Operations Research, Springer, vol. 325(2), pages 1169-1195, June.
    • Handle: RePEc:spr:annopr:v:325:y:2023:i:2:d:10.1007_s10479-022-04877-z
    DOI: 10.1007/s10479-022-04877-z
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    References listed on IDEAS

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