Developments in Multi-Attribute Portfolio Selection

• Autorzy: Ralph E. Steuer , Qi Yue , Markus Hirschberger
• Języki publikacji: EN

Abstrakty

EN

In the paper the authors explain why it is possible that finance professional view conventional portfolio selection as a single criterion problem, while multiple criteria optimization professionals view it as a bi-criterion problem. Next, they show how, for more complex investors, the theory of mean-variance portfolio selection can be extended to include additional objectives such as dividends, liquidity, turnover, number of securities in a portfolio, and so forth. This is followed by a discussion of the nature of the nondominated sets of multiple objective portfolio selection problems and current developments for the solution of such problems.

W artykule autorzy wyjaśniają dlaczego jest możliwym postrzeganie standardowego portfela przez finansistów jako problemu wyboru jednokryterialnego, podczas gdy osoby zajmujące się optymalizację wielokryterialną widzą to jako problem dwukryterialny. Następnie pokazują jak, dla bardziej zaawansowanych inwestorów, teoria wyboru portfela według metody analizy portfelowej Markowitza może być poszerzona o dodatkowe cele, takie jak dywidendy, płynność, zwrot, liczbę zabezpieczeń portfela, etc. Następnie zaprezentowano dyskusje na temat natury zbiorów rozwiązań niezdominowanych w problemach selekcji portfela przy wielu celach i obecne rozwiązania takich problemów. (AT)

Słowa kluczowe

EN

Portfolio theory; Markowitz portfolio theory; Portfolio analysis; Portfolio management

PL

Teoria portfolio; Teoria portfelowa Markowitza; Analiza portfelowa; Zarządzanie portfolio

• Czasopismo: Multiple Criteria Decision Making / University of Economics in Katowice
• Rocznik: 2006
• Tom: 1
• Strony: 251--262

Twórcy

autor

Ralph E. Steuer

• University of Georgia, USA

autor

Qi Yue

• University of Georgia, USA

autor

Markus Hirschberger

• Catholic University of Eichstätt-Ingolstadt, Germany

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