Abstract
Institutional and private investors in stock markets insistently demand pricing models to decide their strategies. We proposed an operational research (OR) model based on few assumptions, the main of them on diversification. This model is solved by resorting to recent results in compromise programming (CP). Thus, we obtain the expected risk premiums of securities.
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Ballestero, E. (2000). Using Compromise Programming in a Stock Market Pricing Model. In: Haimes, Y.Y., Steuer, R.E. (eds) Research and Practice in Multiple Criteria Decision Making. Lecture Notes in Economics and Mathematical Systems, vol 487. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-57311-8_33
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DOI: https://doi.org/10.1007/978-3-642-57311-8_33
Publisher Name: Springer, Berlin, Heidelberg
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