Multicriteria Portfolio Management by unknow
Author:unknow
Language: eng
Format: epub
Tags: Business_Karriere, Fachbücher
ISBN: 9781461436690
Google: ts6rtgAACAAJ
Amazon: B00A9YGJ5C
Publisher: Springer New York
Published: 2012-05-11T11:31:13+00:00
4.1 Introduction
In this chapter, we strongly advocate a multicriteria approach to address the problem of portfolio construction and selection, taking into account: (a) the limits related to the Markowitz conventional theory, the results from the estimation of the models, and the philosophy of the single-objective optimization approach; and (b) the behavior of investors, who, in addition to the above-mentioned anomalies, could have additional criteria in mind, beyond risk and return. To address these issues effectively, we present an integrated and innovative methodological approach, within the frame of multiobjective mathematical programming (MMP), for constructing and selecting equity portfolios.
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