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Portfolio selection in the Spanish stock market by interactive multiobjective programming

Author

Listed:
  • Rafael Rodríguez
  • Mariano Luque

    ()

  • Mercedes González

Abstract

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Suggested Citation

  • Rafael Rodríguez & Mariano Luque & Mercedes González, 2011. "Portfolio selection in the Spanish stock market by interactive multiobjective programming," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 19(1), pages 213-231, July.
  • Handle: RePEc:spr:topjnl:v:19:y:2011:i:1:p:213-231
    DOI: 10.1007/s11750-010-0139-7
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    References listed on IDEAS

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    1. 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.
    2. Li, Han-Lin & Tsai, Jung-Fa, 2008. "A distributed computation algorithm for solving portfolio problems with integer variables," European Journal of Operational Research, Elsevier, vol. 186(2), pages 882-891, April.
    3. Mariano Luque & Rafael Caballero & Julian Molina & Francisco Ruiz, 2007. "Equivalent Information for Multiobjective Interactive Procedures," Management Science, INFORMS, vol. 53(1), pages 125-134, January.
    4. Nijkamp, P. & Spronk, J., 1978. "Interactive multiple goal programming," Serie Research Memoranda 0003, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    5. Stewart, TJ, 1992. "A critical survey on the status of multiple criteria decision making theory and practice," Omega, Elsevier, vol. 20(5-6), pages 569-586.
    6. Włodzimierz Ogryczak, 2000. "Multiple criteria linear programming model for portfolio selection," Annals of Operations Research, Springer, vol. 97(1), pages 143-162, December.
    7. Luque, Mariano & Miettinen, Kaisa & Eskelinen, Petri & Ruiz, Francisco, 2009. "Incorporating preference information in interactive reference point methods for multiobjective optimization," Omega, Elsevier, vol. 37(2), pages 450-462, April.
    8. Ruiz, Francisco & Luque, Mariano & Miguel, Francisca & del Mar Munoz, Maria, 2008. "An additive achievement scalarizing function for multiobjective programming problems," European Journal of Operational Research, Elsevier, vol. 188(3), pages 683-694, August.
    9. Shing, Chue & Nagasawa, Hiroyuki, 1999. "Interactive decision system in stochastic multiobjective portfolio selection," International Journal of Production Economics, Elsevier, vol. 60(1), pages 187-193, April.
    10. Lin, Chang-Chun & Liu, Yi-Ting, 2008. "Genetic algorithms for portfolio selection problems with minimum transaction lots," European Journal of Operational Research, Elsevier, vol. 185(1), pages 393-404, February.
    11. 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.
    12. Powell, John G. & Premachandra, I.M., 1998. "Accommodating diverse institutional investment objectives and constraints using non-linear goal programming," European Journal of Operational Research, Elsevier, vol. 105(3), pages 447-456, March.
    13. Lee, Sang M & Lerro, A J, 1973. "Optimizing the Portfolio Selection for Mutual Funds," Journal of Finance, American Finance Association, vol. 28(5), pages 1087-1102, December.
    14. Ogryczak, Wlodzimierz & Wierzbicki, Adam & Milewski, Marcin, 2008. "A multi-criteria approach to fair and efficient bandwidth allocation," Omega, Elsevier, vol. 36(3), pages 451-463, June.
    15. Abdelaziz, Fouad Ben & Aouni, Belaid & Fayedh, Rimeh El, 2007. "Multi-objective stochastic programming for portfolio selection," European Journal of Operational Research, Elsevier, vol. 177(3), pages 1811-1823, March.
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