Equity portfolio construction and selection using multiobjective mathematical programming

Xidonas, P; Mavrotas, G; Psarras, J

dc.contributor.author	Xidonas, P	en
dc.contributor.author	Mavrotas, G	en
dc.contributor.author	Psarras, J	en
dc.date.accessioned	2014-03-01T01:33:22Z
dc.date.available	2014-03-01T01:33:22Z
dc.date.issued	2010	en
dc.identifier.issn	0925-5001	en
dc.identifier.uri	https://dspace.lib.ntua.gr/xmlui/handle/123456789/20403
dc.subject	ε-Constraint method	en
dc.subject	Equities	en
dc.subject	Multiobjective mathematical programming	en
dc.subject	Portfolio optimization	en
dc.subject.classification	Operations Research & Management Science	en
dc.subject.classification	Mathematics, Applied	en
dc.subject.other	Constraint methods	en
dc.subject.other	Decision makers	en
dc.subject.other	Interactive filtering	en
dc.subject.other	Mixed integer programming model	en
dc.subject.other	Multi objective	en
dc.subject.other	Multiobjective mathematical programming	en
dc.subject.other	Pareto solution	en
dc.subject.other	Pareto-optimal	en
dc.subject.other	Portfolio optimization	en
dc.subject.other	Stock exchange	en
dc.subject.other	Computer software selection and evaluation	en
dc.subject.other	Decision making	en
dc.subject.other	Financial data processing	en
dc.subject.other	Integer programming	en
dc.subject.other	Multiobjective optimization	en
dc.title	Equity portfolio construction and selection using multiobjective mathematical programming	en
heal.type	journalArticle	en
heal.identifier.primary	10.1007/s10898-009-9465-4	en
heal.identifier.secondary	http://dx.doi.org/10.1007/s10898-009-9465-4	en
heal.language	English	en
heal.publicationDate	2010	en
heal.abstract	A multi-objective mixed integer programming model for equity portfolio construction and selection is developed in this study, in order to generate the Pareto optimal portfolios, using a novel version of the well known ε-constraint method. Subsequently, an interactive filtering process is also proposed to assist the decision maker in making his/her final choice among the Pareto solutions. The proposed methodology is tested through an application in the Athens Stock Exchange. © Springer Science+Business Media, LLC. 2009.	en
heal.publisher	SPRINGER	en
heal.journalName	Journal of Global Optimization	en
dc.identifier.doi	10.1007/s10898-009-9465-4	en
dc.identifier.isi	ISI:000277340500003	en
dc.identifier.volume	47	en
dc.identifier.issue	2	en
dc.identifier.spage	185	en
dc.identifier.epage	209	en