Abstract
Portfolio management is often viewed as a bi-criteria risk-return optimization problem in accordance with the well-known mean-variance framework. In this chapter, portfolio management is considered in a broader context, covering asset selection and portfolio optimization taking into consideration different risk-return measures and other goals and objectives, which are commonly used by investors and portfolio managers. Extensions of this framework to mutual funds and index tracking are also discussed, together with implementations in decision support systems.
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Notes
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A similar modeling process is also described by Maginn et al. [160], who refer to the three stages as planning, execution, and feedback.
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In this example, there is no weighted average of the form \(w_1(\text{ Return })-w_2(\text{ CVaR }_{95\,\%})\) with \(w_1,w_2\ge 0\), that would lead to the selection of any of the portfolios in the circled area.
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Doumpos, M., Zopounidis, C. (2014). Portfolio Management . In: Multicriteria Analysis in Finance. SpringerBriefs in Operations Research. Springer, Cham. https://doi.org/10.1007/978-3-319-05864-1_5
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DOI: https://doi.org/10.1007/978-3-319-05864-1_5
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Publisher Name: Springer, Cham
Print ISBN: 978-3-319-05863-4
Online ISBN: 978-3-319-05864-1
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