Approximating the optimum portfolio for an investor with particular preferences

Journal of the Operational Research Society

Volumn 49, Issue 9, 1998, Pages 998-1000

  Ballestero, E ^a  

^a UNIVERSIDAD POLITÉCNICA DE MADRID   (Spain)

Author keywords

Multi criteria analysis; Portfolio selection; Utility

Indexed keywords

APPROXIMATION THEORY; OPTIMIZATION; PROBABILITY; RISK MANAGEMENT; STATISTICAL METHODS; THEOREM PROVING;

BOUNDING UTILITY THEOREM; MEAN-VARIANCE EFFICIENT FRONTIER;

DECISION THEORY;

EID: 0032162788     PISSN: 01605682     EISSN: 14769360     Source Type: Journal    
DOI: 10.1057/palgrave.jors.2600587     Document Type: Article

References (3)

1. Ballestero E and Romero C (1996). Portfolio selection: A compromise programming solution. J Opl Res Soc 47: 1377-1386.
2. Coleman JS (1990). (Un-titled). In: Swedberg R (ed). Economics and Sociology, Princeton University Press: New Jersey, pp 47-60.
3. Yu PL (1973). A class of solutions for group decision problems. MgmtSci 19: 936-946.