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Portfolio Optimization

  • Panos Xidonas
  • George Mavrotas
  • Theodore Krintas
  • John Psarras
  • Constantin Zopounidis
Chapter
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Part of the Springer Optimization and Its Applications book series (SOIA, volume 69)

Abstract

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.

Keywords

Portfolio Construction Single-objective Optimization Approach General Algebraic Modeling System (GAMS) GAMS Model Extreme Efficient Solutions 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 2012

Authors and Affiliations

  • Panos Xidonas
    • 1
  • George Mavrotas
    • 2
  • Theodore Krintas
    • 3
  • John Psarras
    • 1
  • Constantin Zopounidis
    • 4
  1. 1.School of Electrical & Computer EngineeringNational Technical University of AthensAthensGreece
  2. 2.School of Chemical EngineeringNational Technical University of AthensAthensGreece
  3. 3.Attica Wealth ManagementAthensGreece
  4. 4.Department of Production Engineering & ManagementTechnical University of CreteChaniaGreece

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