Nadir compromise programming: A model for optimization of multi-objective portfolio problem

Expert Systems with Applications

Volumn 38, Issue 6, 2011, Pages 7222-7226

  Amiri, Maghsoud ^a   Ekhtiari, Mostafa ^b   Yazdani, Mehdi ^b  

^a ALLAMEH TABATABA'I UNIVERSITY   (Iran)

^b ISLAMIC AZAD UNIVERSITY   (Iran)

Author keywords

Compromise programming; Multi objective optimization; Portfolio selection

Indexed keywords

COMPROMISE PROGRAMMING; FINANCIAL DECISIONS; FINANCIAL PORTFOLIO; MULTI OBJECTIVE; MULTI-OBJECTIVE PROBLEM; OPERATIONAL CAPABILITIES; OPTIMIZATION METHOD; PORTFOLIO SELECTION; STOCK INDICES; STOCK MARKET;

DECISION MAKING;

MULTIOBJECTIVE OPTIMIZATION;

EID: 79951577039     PISSN: 09574174     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eswa.2010.12.061     Document Type: Article

References (24)

1. E. Ballestero Approximating the optimum portfolio for an investor with particular preferences Journal of Operational Research Society 49 1998 998 1000 (Pubitemid 128593492)
2. E. Ballestero, J.M. Anton, and C. Bielza Compromise-based approach to road project selection in Madrid metropolitan area Journal of the Operations Research Society of Japan 46 2003 99 122 (Pubitemid 38972211)
3. E. Ballestero, and C. Romero Portfolio selection: A compromise programming solution Journal of Operational Research Society 47 1996 1377 1386 (Pubitemid 126566184)
4. D.E. Bell, H. Raiffa, and A. Tversky Risky choice revisited D.E. Bell, Decision making: Descriptive normative and prescriptive Interactions 1988 Cambridge University Press Cambridge, England
5. E.J. Elton, M.J. Gruber, and M. Padberg Simple rules for optimal portfolio selection Journal of Finance 31 1976 1341 1357
6. A. Fernández, and S. Gómez Portfolio selection using neural networks Computers and Operations Research 34 2007 1177 1191 (Pubitemid 44429939)
7. B.P. Gladish, D.F. Jones, M. Tamiz, and A.B. Terol An interactive three stage model for mutual funds portfolio selection Omega 35 2007 75 88 (Pubitemid 44309357)
8. H. Konno Piecewise linear risk function and portfolio optimization Journal of Operational Research Society of Japan 33 1990 139 156
9. H. Konno, and H. Yamazaki Mean absolute deviation portfolio optimization model and its applications to Tokyo stock market Management Science 37 1991 519 531
10. S.M. Lee, and D.L. Chesser Goal programming for portfolio selection Journal of Portfolio and Management Spring 1980 22 26
11. H. Markowitz Portfolio selection Journal of Finance 7 1952 77 91
12. H. Markowitz Portfolio selection: Efficient diversification of investments 1959 John Wiley and Sons New York
13. D.N. Nawrocki, and W.L. Carter Earnings announcements and portfolio selection. Do they add value? International Review of Financial Analysis 7 1998 37 50 (Pubitemid 128183236)
14. C. Romero, F. Amador, and A. Barco Multiple objectives in agricultural planning: A compromise programming application American Journal of Agricultural Economy 69 1987 78 86
15. W.F. Sharpe A simplified model for portfolio analysis Management Science 9 1963 277 293
16. W.F. Sharpe Capital asset prices: A theory of market equilibrium under conditions of risk Journal of Finance 19 1964 425 442
17. W.F. Sharpe A linear programming algorithm for mutual fund portfolio selection Management Science 13 1967 499 510
18. C. Shing, and H. Nagasawa Interactive decision system in stochastic multi-objective portfolio selection International of Journal of Production Economy 60-61 1999 187 193
19. M. Young A minimax portfolio selection rule with linear programming solution Management Science 44 1998 673 683 (Pubitemid 128596872)
20. M. Zeleny Compromise programming J.L. Cochrane, M. Zeleny, Multiple criteria decision making 1973 University of South Carolina Press Columbia 262 301
21. M. Zeleny A concept of compromise solutions and the method of the displaced ideal Computational Operational Research 1 1974 479 496
22. M. Zeleny Multiple criteria decision making 1976 Springer-Verlag Berlin
23. M. Zeleny Multiple criteria decision making 1982 McGraw-Hill New York
24. C. Zopounidis, M. Doumpos, and S. Zanakis Stock evaluation using a preference disaggregation methodology Decision Science 30 1999 313 336