An MCDM approach to portfolio optimization

European Journal of Operational Research

Volumn 155, Issue 3, 2004, Pages 752-770

  Ehrgott, Matthias ^a   Klamroth, Kathrin ^b   Schwehm, Christian ^c  

^a UNIVERSITY OF AUCKLAND   (New Zealand)

^b UNIVERSITY OF COPENHAGEN   (Denmark)

^c DWS Investment GmbH   (Germany)

Author keywords

Metaheuristics; Multicriteria decision making; Portfolio optimization; Utility function

Indexed keywords

DECISION MAKING; DECISION THEORY; FUNCTIONS; GENETIC ALGORITHMS; HEURISTIC METHODS; MATRIX ALGEBRA; PROBLEM SOLVING; QUADRATIC PROGRAMMING; UTILITY PROGRAMS;

METAHEURISTICS; MULTICRITERIA DECISION MAKING; PORTFOLIO OPTIMIZATION; UTILITY FUNCTIONS;

OPERATIONS RESEARCH;

EID: 0742319167     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0377-2217(02)00881-0     Document Type: Conference Paper

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