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The Portfolio Selection Problem with Multiattributes and Multiple Criteria

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Essays and Surveys on Multiple Criteria Decision Making

Part of the book series: Lecture Notes in Economics and Mathematical Systems ((LNE,volume 209))

Abstract

We have considered interesting to suppose a new viewpoint in the portfolio problem,trying to integrate into one mathematical model not only one attribute, as in the classic setting (Markowitz, 1959), but several attributes (return, liquidity,..) which reflect better the preferences of the decision-maker. Utility maximization and satisficing criteria are applied to the problem.

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References

  • MARKOWITZ, H. (1959). - Portfolio Selection. Wiley, New York.

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  • RIOS, S. (1973). - “El problema de la Selección de la Cartera con Diferentes Opera-dores de Utilidad”. Trabajos de Estadística e Investigación Operativa. Vol. XXIV, Madrid.

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  • RIOS-GARCIA, S., RIOS-INSUA, S. On satisficing decision methods (OPERATIONAL RESEARCH’ 81, North Holland, p. 387–93).

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  • RIOS-INSUA, S. (1980). - “Decisiones Multicriterio con Ordenaciones Parciales”. ( Tesis, Universidad Complutense, Madrid. )

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  • HIRSCH, M.D. (1979).- Liquidity filters: Tools for better perfomance. Journal of Portfolio Management. Vol. 2, n2 1, p. 46–50.

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  • KEENEY, R.L., RAIFFA, H. (1976).- Decisions with multiple objetives. J. Wiley.

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Author information

Authors and Affiliations

  1. Facultad de CC. Matemáticas, Universidad Complutense de Madrid, Ciudad Universitaria, Madrid-15, Spain

    S. Ríos-Garcǐa & S. Ríos-Insua

Authors
  1. S. Ríos-Garcǐa
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  2. S. Ríos-Insua
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Editor information

Editors and Affiliations

  1. Faculté de Sciences Economiques Appliquées, Faculté Universitaire Catholique de Mons, Chaussée de Binche, 151, B-7000, Mons, Belgium

    Pierre Hansen

  2. Institut d’Economie Scientifique et de Gestion, Lille, France

    Pierre Hansen

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© 1983 Springer-Verlag Berlin Heidelberg

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Ríos-Garcǐa, S., Ríos-Insua, S. (1983). The Portfolio Selection Problem with Multiattributes and Multiple Criteria. In: Hansen, P. (eds) Essays and Surveys on Multiple Criteria Decision Making. Lecture Notes in Economics and Mathematical Systems, vol 209. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-46473-7_31

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  • DOI: https://doi.org/10.1007/978-3-642-46473-7_31

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-11991-3

  • Online ISBN: 978-3-642-46473-7

  • eBook Packages: Springer Book Archive

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