Portfolio management within the frame of multiobjective mathematical programming: A categorised bibliographic study

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	17457645	en
dc.identifier.uri	https://dspace.lib.ntua.gr/xmlui/handle/123456789/20691
dc.subject	Bibliographic study	en
dc.subject	MMP	en
dc.subject	Multiobjective mathematical programming	en
dc.subject	PM	en
dc.subject	Portfolio management	en
dc.title	Portfolio management within the frame of multiobjective mathematical programming: A categorised bibliographic study	en
heal.type	journalArticle	en
heal.identifier.primary	10.1504/IJOR.2010.033102	en
heal.identifier.secondary	http://dx.doi.org/10.1504/IJOR.2010.033102	en
heal.publicationDate	2010	en
heal.abstract	According to the conventional theory of finance, maximising return with minimum risk should be a milestone of every rational investor. However, contrary to the theoretical expectations of the classical approach, the tests achieved on most financial markets have revealed the existence of more variables, beyond those of risk and return. Moreover, the conventional theory does not take into consideration the investor's specific preferences and behavioural aspects. Under this rationale, the problem of selecting an attractive portfolio is a multicriteria issue, which should be tackled by using appropriate techniques. It is our purpose in this paper to show that the modelling framework of multiobjective mathematical programming (MMP) constitutes the most solid methodological basis for resolving the inherent multidimensional nature of the portfolio selection problem. We are also trying to capture the existing research activity through an elaborate categorised bibliographic review, regarding the application of MMP techniques in portfolio management. © 2010 Inderscience Enterprises Ltd.	en
heal.journalName	International Journal of Operational Research	en
dc.identifier.doi	10.1504/IJOR.2010.033102	en
dc.identifier.volume	8	en
dc.identifier.issue	1	en
dc.identifier.spage	21	en
dc.identifier.epage	41	en