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An MCDM approach to portfolio optimization

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  • Ehrgott, Matthias
  • Klamroth, Kathrin
  • Schwehm, Christian

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  • Ehrgott, Matthias & Klamroth, Kathrin & Schwehm, Christian, 2004. "An MCDM approach to portfolio optimization," European Journal of Operational Research, Elsevier, vol. 155(3), pages 752-770, June.
    • Handle: RePEc:eee:ejores:v:155:y:2004:i:3:p:752-770
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    References listed on IDEAS

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    1. Edwards, Ward & Barron, F. Hutton, 1994. "SMARTS and SMARTER: Improved Simple Methods for Multiattribute Utility Measurement," Organizational Behavior and Human Decision Processes, Elsevier, vol. 60(3), pages 306-325, December.
    2. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    3. Keeney,Ralph L. & Raiffa,Howard, 1993. "Decisions with Multiple Objectives," Cambridge Books, Cambridge University Press, number 9780521438834, October.
    4. Pardalos, Panos M & Sandstrom, Mattias & Zopounidis, Costas, 1994. "On the Use of Optimization Models for Portfolio Selection: A Review and Some Computational Results," Computational Economics, Springer;Society for Computational Economics, vol. 7(4), pages 227-244.
    5. Morita, Hiroshi & Ishii, Hiroaki & Nishida, Toshio, 1989. "Stochastic linear knapsack programming problem and its application to a portfolio selection problem," European Journal of Operational Research, Elsevier, vol. 40(3), pages 329-336, June.
    6. Tangian, Andranik, 2001. "Constructing a monotonic quadratic objective function in n variables from a few two-dimensional indifferences," European Journal of Operational Research, Elsevier, vol. 130(2), pages 276-304, April.
    7. Jenkins, Larry & Anderson, Murray, 2003. "A multivariate statistical approach to reducing the number of variables in data envelopment analysis," European Journal of Operational Research, Elsevier, vol. 147(1), pages 51-61, May.
    8. Mansini, Renata & Speranza, Maria Grazia, 1999. "Heuristic algorithms for the portfolio selection problem with minimum transaction lots," European Journal of Operational Research, Elsevier, vol. 114(2), pages 219-233, April.
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