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2009 | 3 | nr 1/2 | 73--85
Tytuł artykułu

A Reference Point Approach to Bi-Objective Dynamic Portfolio Optimization

Autorzy
Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
The portfolio selection problem presented in this paper is formulated as a bi-objective mixed integer program. The portfolio selection problem considered is based on a dynamic model of investment, in which the investor buys and sells securities in successive investment periods. The problem objective is to dynamically allocate the wealth on different securities to optimize by reference point method the portfolio expected return and the probability that the return is not less than a required level. In computational experiments the dataset of daily quotations from the Warsaw Stock Exchange were used. (original abstract)
Rocznik
Tom
3
Numer
Strony
73--85
Opis fizyczny
Twórcy
  • AGH University of Science and Technology Kraków, Poland
Bibliografia
  • Alves, M.J., Climaco, J. (2007). A review of interactive methods for multiobjective integer and mixed-integer programming, European Journal of Operational Research, Vol. 180, pp 99-115.
  • Anagnostopoulos, K.P., Mamanis, G. (2010). A portfolio optimization model with three objectives and discrete variables, Computers and Operations Research, Vol. 37, pp 1285- 1297.
  • Benati, S., Rizzi, R. (2007). A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem, European Journal of Operational Research, Vol. 176, pp 423-434.
  • Bowman Jr, V.J. (1976). On the relationship of the Tchebycheff norm and the efficient frontier of multi-criteria objectives, In: Thiriez H., Zionts S. (Eds.) Multiple Criteria Decision Making, Lecture Notes in Economics and Mathematical Systems, Vol. 130. Springer-Verlag, Berlin, Germany, pp. 76-86.
  • Ehrgott, M. (2000). Multicriteria Optimization. Second edition, Springer, Berlin, Germany. Esch, L., Kieer, R., Lopez, T., Berb, C., Damel, P., Debay, M., Hannosset, J.-F. (2005). Asset and Risk Management. Risk Oriented Finance, John Wiley & Sons.
  • Fourer, R., Gay, D.M., Kernighan, B.W. (1990). A Modeling Language for Mathematical Programming, Management Science, Vol. 36, pp 519-554.
  • Gaivoronski, A.A., Krylov, S., Van Der Wijst, N. (2005). Optimal portfolio selection and dynamic benchmark tracking, European Journal of Operational Research, Vol. 163, pp 115- 131.
  • Lin, C.C. (2009). Comments on "A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem", European Journal of Operational Research, Vol. 194, pp 339-341.
  • Markowitz, H.M. (1952). Portfolio selection, Journal of Finance, Vol. 7, pp 77-91
  • Markowitz, H.M. (1997). Portfolio Selection: Efficient Diversification of Investments. Second edition, Blackwell Publishers, Inc., Malden, Mass., USA.
  • Nemhauser, G.L., Wolsey, L.A. (1999). Integer and Combinatorial Optimization, John Wiley & Sons, Toronto, Canada.
  • Ogryczak, W. (2000). Multiple criteria linear programming model for portfolio selection, Annals of Operations Research Vol. 97, pp 143-16.
  • Sawik, B. (2009a). Lexicographic and Weighting Approach to Multi-Criteria Portfolio Optimization by Mixed Integer Programming, In: Lawrence K. D., Kleinman G. (Eds.) Applications of Management Science, Vol. 13, Financial Modeling Applications and Data Envelopment Applications, Emerald Group Publishing Limited, UK, USA, pp. 3-18.
  • Sawik, B. (2009b). A Multi-Objective Dynamic Portfolio Optimization with Short Selling Variables, INFORMS annual meeting, Oct 11-14, 2009, San Diego, USA.
  • Sawik, B. (2009c). A Weighted-Sum Mixed Integer Program for Bi-Objective Dynamic Portfolio Optimization, Semi-Annual "Automatyka" Vol. 13(2), pp 563-571.
  • Sawik, B. (2009d). A Lexicographic Approach for Multi-Objective Dynamic Portfolio Optimization, The 23rd European Conference on Operational Research (EURO XXIII), Jul 5-8, 2009, Bonn, Germany.
  • Sawik, B. (2009e.) Portfolio Optimization of a Multi-Period Investment by Mixed Integer Programming, In: Howaniec H., Waszkielewicz W. (Eds.) Conditions of development of management systems, Monographic of ATH University of Bielsko-Biała, Poland, pp. 112-120.
  • Sawik, B. (2009f). A Dynamic MIP Approach to Multi-Objective Portfolio Optimization, CORS-INFORMS, Jun 14-17, 2009, Toronto, Canada.
  • Sawik, B. (2009g). Bi-Objective Dynamic Portfolio Optimization by Mixed Integer Programming, European Chapter on Combinatorial Optimization (ECCO XXII), May 17-20, 2009, Jerusalem, Israel.
  • Sawik, B. (2008). A Three Stage Lexicographic Approach for Multi-Criteria Portfolio Optimization by Mixed Integer Programming, Przegląd Elektrotechniczny, Vol. 84(9), pp 108-112.
  • Speranza, M.G. (1993). Linear programming models for portfolio optimization, Finance, Vol. 14, pp 107-123.
  • Steuer, R.E. (1986). Multiple Criteria Optimization: Theory, Computation and Application, John Wiley & Sons, New York, USA.
  • Young, M.R. (1998). A minimax portfolio selection rule with linear programming solution, Management Science, Vol. 44, pp 673-683.
Typ dokumentu
Bibliografia
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Identyfikator YADDA
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