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Multi-criteria optimal stopping methods applied to the portfolio optimisation problem

Author

Listed:
  • Fouad Ben Abdelaziz

    (Neoma Business School)

  • Ray Saadaoui Mallek

    (University of Sharjah
    Institut des Hautes Etudes)

Abstract

Practitioners and academicians have paid close concern to modelling a reliable state of stock portfolios in a way that meets the traders’ criteria. This paper focuses on solving the multi-criteria portfolio optimisation problem relying on two different models derived from the theory of optimal stopping problems. For each model, the decision making rule to take part and manage any conflict arising from the multi-criteria aspect is the core of the underlying strategies. An interactive method against (Gnedin in Autom Remote Control 42(7):981–986, 1981) solution based algorithms is applied. When applied to real data, the performance of our proposed portfolio strategies against the buy-and-hold strategy depends on the investment horizon. Interactive approach seems to perform in the short term run whereas (Gnedin 1981) solution based strategy is a long term approach.

Suggested Citation

  • Fouad Ben Abdelaziz & Ray Saadaoui Mallek, 2018. "Multi-criteria optimal stopping methods applied to the portfolio optimisation problem," Annals of Operations Research, Springer, vol. 267(1), pages 29-46, August.
    • Handle: RePEc:spr:annopr:v:267:y:2018:i:1:d:10.1007_s10479-016-2325-y
    DOI: 10.1007/s10479-016-2325-y
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    References listed on IDEAS

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    Cited by:

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    2. Alejandro Balbás & Beatriz Balbás & Raquel Balbás, 2022. "Pareto efficient buy and hold investment strategies under order book linked constraints," Annals of Operations Research, Springer, vol. 311(2), pages 945-965, April.

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