Portfolio construction on the Athens Stock Exchange: A multiobjective optimization approach

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	2014-03-01T01:34:19Z
dc.date.available	2014-03-01T01:34:19Z
dc.date.issued	2010	en
dc.identifier.issn	0233-1934	en
dc.identifier.uri	https://dspace.lib.ntua.gr/xmlui/handle/123456789/20690
dc.subject	Equities	en
dc.subject	Multiobjective mathematical programming	en
dc.subject	Portfolio construction	en
dc.subject.classification	Operations Research & Management Science	en
dc.subject.classification	Mathematics, Applied	en
dc.subject.other	EMPIRICAL ANALYSIS	en
dc.subject.other	DECISION-MAKING	en
dc.subject.other	SELECTION	en
dc.subject.other	MODEL	en
dc.subject.other	RISK	en
dc.subject.other	DIVERSIFICATION	en
dc.subject.other	MANAGEMENT	en
dc.title	Portfolio construction on the Athens Stock Exchange: A multiobjective optimization approach	en
heal.type	journalArticle	en
heal.identifier.primary	10.1080/02331930903085375	en
heal.identifier.secondary	http://dx.doi.org/10.1080/02331930903085375	en
heal.language	English	en
heal.publicationDate	2010	en
heal.abstract	In this research article, our purpose is to propose a single-period multiobjective mixed-integer programming model for equity portfolio construction, in order to generate the Pareto optimal portfolios, using a variant of the well-known -constraint method. The decision maker's investment policy, i.e. constraints regarding the portfolio structure, is strongly taken into account. An illustrative application in the Athens Stock Exchange market is also presented. © 2010 Taylor & Francis.	en
heal.publisher	TAYLOR & FRANCIS LTD	en
heal.journalName	Optimization	en
dc.identifier.doi	10.1080/02331930903085375	en
dc.identifier.isi	ISI:000283063500007	en
dc.identifier.volume	59	en
dc.identifier.issue	8	en
dc.identifier.spage	1211	en
dc.identifier.epage	1229	en