Equity portfolio construction and selection using multiobjective mathematical programming
No abstract is available for this item.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 47 (2010)
Issue (Month): 2 (June)
|Contact details of provider:|| Web page: http://www.springer.com|
|Order Information:||Web: http://www.springer.com/business/operations+research/journal/10898|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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 University Rotterdam.
- W. Michalowski & W. Ogryczak, 1998. "Extending the MAD Portfolio Optimization Model to Incorporate Downside Risk Aversion," Working Papers ir98041, International Institute for Applied Systems Analysis.
- Zopounidis, C., 1999. "Multicriteria decision aid in financial management," European Journal of Operational Research, Elsevier, vol. 119(2), pages 404-415, December.
- Zopounidis, C & Despotis, D K & Kamaratou, I, 1998. "Portfolio Selection Using the ADELAIS Multiobjective Linear Programming System," Computational Economics, Springer;Society for Computational Economics, vol. 11(3), pages 189-204, June.
- 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.
- 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.
- 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, Springer;Society for Computational Economics, vol. 7(4), pages 227-44.
- 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.
- 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.
- 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.
- Włodzimierz Ogryczak, 2000. "Multiple criteria linear programming model for portfolio selection," Annals of Operations Research, Springer, vol. 97(1), pages 143-162, December.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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 University Rotterdam.
When requesting a correction, please mention this item's handle: RePEc:spr:jglopt:v:47:y:2010:i:2:p:185-209. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla)or (Rebekah McClure)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.