IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-02879921.html

Multiobjective portfolio optimization: bridging mathematical theory with asset management practice

Author

Listed:
  • Panos Xidonas

    (ESSCA - ESSCA – École supérieure des sciences commerciales d'Angers = ESSCA Business School)

  • Christis Hassapis

    (UCY - University of Cyprus [Nicosia])

  • George Mavrotas

    (NTUA - National Technical University of Athens)

  • Christos Staikouras

    (AUEB - Athens University of Economics and Business)

  • Constantin Zopounidis

    (Audencia Business School)

Abstract

We attempt to establish an integrated portfolio optimization business framework, in order to bridge the underlying gap between the complex mathematical theory of multiobjective mathematical programming and asset management practice. Our aim is to assist practitioners and portfolio managers in formulating successful investment strategies, by providing them with an effective decision support tool. In particular, we propose a multiobjective portfolio model, able to support the simultaneous optimization of multiple investment objectives. We also manage to integrate a set of sophisticated real-world non-convex investment policy limitations, such as the cardinality constraints, the buy-in thresholds, the transaction costs, along with particular normative rules. The underlying investment management rationale of the proposed managerial protocol is displayed through an illustrative business flowchart, while we also provide an analytical step-by-step portfolio management business routine. The validity of the model is verified through an extended empirical testing application on the Eurostoxx 50. According to the results, a sufficient number of efficient or Pareto optimal portfolios produced by the model, appear to possess superior out-of-sample returns with respect to the underlying benchmark.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Panos Xidonas & Christis Hassapis & George Mavrotas & Christos Staikouras & Constantin Zopounidis, 2016. "Multiobjective portfolio optimization: bridging mathematical theory with asset management practice," Post-Print hal-02879921, HAL.
    • Handle: RePEc:hal:journl:hal-02879921
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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.
    2. Kerstin Dächert & Ria Grindel & Elisabeth Leoff & Jonas Mahnkopp & Florian Schirra & Jörg Wenzel, 2022. "Multicriteria asset allocation in practice," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 44(2), pages 349-373, June.
    3. Forouli, Aikaterini & Doukas, Haris & Nikas, Alexandros & Sampedro, Jon & Van de Ven, Dirk-Jan, 2019. "Identifying optimal technological portfolios for European power generation towards climate change mitigation: A robust portfolio analysis approach," Utilities Policy, Elsevier, vol. 57(C), pages 33-42.
    4. Jules Raymond Kala & Didier Michael Kre & Armelle N’Guessan Gnassou & Jean Robert Kamdjoug Kala & Yves Melaine Akpablin Akpablin & Tiorna Coulibaly, 2022. "Assets management on electrical grid using Faster-RCNN," Annals of Operations Research, Springer, vol. 308(1), pages 307-320, January.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-02879921. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.