Multiple criteria linear programming model for portfolio selection

@article{Ogryczak2000MultipleCL,
  title={Multiple criteria linear programming model for portfolio selection},
  author={Wlodzimierz Ogryczak},
  journal={Annals OR},
  year={2000},
  volume={97},
  pages={143-162}
}
The portfolio selection problem is usually considered as a bicriteria optimization problem where a reasonable trade-off between expected rate of return and risk is sought. In the classical Markowitz model the risk is measured with variance, thus generating a quadratic programming model. The Markowitz model is frequently criticized as not consistent with axiomatic models of preferences for choice under risk. Models consistent with the preference axioms are based on the relation of stochastic… CONTINUE READING

From This Paper

Figures, tables, and topics from this paper.

Citations

Publications citing this paper.
Showing 1-10 of 57 extracted citations

References

Publications referenced by this paper.
Showing 1-10 of 23 references

Portfolio selection

H. Markowitz
J. Fin. 7 • 1952
View 5 Excerpts
Highly Influenced

Multiple Criteria Optimization – Theory

R. E. Steuer
Computation & Applications • 1986
View 5 Excerpts
Highly Influenced

A linear programming approximation for the general portfolio analysis problem

W. F. Sharpe
J. Fin. Quant. Anal. 6 • 1971
View 3 Excerpts
Highly Influenced

Stochastic dominance and expected utility: survey and analysis

H. Levy
Manag. Sci. 38 • 1992
View 3 Excerpts
Highly Influenced

A minimax portfolio selection rule with linear programming solution

M. R. Young
Manag. Sci. 44 • 1998
View 1 Excerpt

Equitable multiple criteria programming

W. Ogryczak
Technical Report TR 96–02 (223), Institute of Informatics, Warsaw University, Warsaw • 1996
View 1 Excerpt

Stochastic dominance , mean variance , and Gini ’ s mean difference

S. Yitzhaki
Amer . Econ . Rev . • 1994

Similar Papers

Loading similar papers…