Multiobjective programming and multiattribute utility functions in portfolio optimization

INFOR

Volumn 47, Issue 1, 2009, Pages 31-42

  Ehrgott, Matthias ^a   Waters, Chris ^a   Kasimbeyli, Refail ^b   Ustun, Ozden ^c  

^a UNIVERSITY OF AUCKLAND   (New Zealand)

^b IZMIR UNIVERSITY OF ECONOMICS   (Turkey)

^c DUMLUPINAR UNIVERSITY   (Turkey)

Author keywords

Multiattribute utility function; Multiobjective programming; Portfolio optimization; UTADIS

Indexed keywords

EFFICIENT PORTFOLIO; EFFICIENT SETS; EXPECTED RETURN; MARKOWITZ MODEL; MEAN VARIANCE; MULTI-ATTRIBUTE UTILITY FUNCTION; MULTIATTRIBUTE UTILITY THEORY; MULTIOBJECTIVE PROGRAMMING; NUMERICAL RESULTS; OBJECTIVE FUNCTIONS; OPTIMIZATION PROBLEMS; PORTFOLIO OPTIMIZATION; PORTFOLIO OPTIMIZATION MODELS; UTILITY FUNCTIONS;

FINANCIAL DATA PROCESSING; NUMERICAL ANALYSIS;

MULTIOBJECTIVE OPTIMIZATION;

EID: 73649145532     PISSN: 03155986     EISSN: None     Source Type: Journal    
DOI: 10.3138/infor.47.1.31     Document Type: Article

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