Portfolio selection in the Spanish stock market by interactive multiobjective programming |
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Authors: | Rafael Rodríguez Mariano Luque Mercedes González |
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Institution: | 1.Department of Applied Economics (Mathematics), Faculty of Economics,University of Malaga,Malaga,Spain |
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Abstract: | This study examines new versions of two interactive methods to address multiobjective problems, the aim of which is to enable
the decision maker to reach a solution within the range of those considered efficient in a portfolio selection model, in which
several objectives are pursued concerning risk and return and given that these are clearly conflicting objectives, the profile
of the model proposed is multicriteria. Normally the range of efficient portfolios is fairly extensive thus making the selection
of a single one an onerous task. In order to facilitate this process, interactive methods are used aimed at guiding the decision
maker towards the optimal solution based on his preferences. Several adaptations were carried out on the original methods
in order to facilitate the interactive process, improving the quality of the obtained portfolios, and these were applied to
data obtained from the Madrid Stock Market, interaction taking place with two decision makers, one of whom was more aggressive
than the other in their selections made. |
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Keywords: | |
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