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Equity portfolio construction and selection using multiobjective mathematical programming

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Abstract

A multi-objective mixed integer programming model for equity portfolio construction and selection is developed in this study, in order to generate the Pareto optimal portfolios, using a novel version of the well known ε-constraint method. Subsequently, an interactive filtering process is also proposed to assist the decision maker in making his/her final choice among the Pareto solutions. The proposed methodology is tested through an application in the Athens Stock Exchange.

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  1. National Technical University of Athens (NTUA), Athens, Greece

    Panagiotis Xidonas, George Mavrotas & John Psarras

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  1. Panagiotis Xidonas
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  2. George Mavrotas
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Xidonas, P., Mavrotas, G. & Psarras, J. Equity portfolio construction and selection using multiobjective mathematical programming. J Glob Optim 47, 185–209 (2010). https://doi.org/10.1007/s10898-009-9465-4

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