search query: @indexterm MULTIPLE CRITERIA DECISION MAKING / total: 242
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| Author: | Ehrgott, M. Klamroth, K. Schwehm, C. |
| Title: | An MCDM approach to portfolio optimization |
| Journal: | European Journal of Operational Research
2004 : JUN, VOL. 155:3, p. 752-770 |
| Index terms: | Portfolio management Multiple criteria decision making Utility theory Utility functions |
| Language: | eng |
| Abstract: | The authors propose a model for portfolio optimization extending the Markowitz mean-variance model. Based on cooperation with Standard and Poor's the authors use five specific objectives related to risk and return and allow consideration of individual preferences through the construction of decision-maker specific utility functions. Numerical results using customized local search, simulated annealing, tabu search and genetic algorithm heuristics show that problems of practically relevant size can be solved quickly. |
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