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Single criterion vs. multi-criteria optimal stopping methods for portfolio management

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  • Fouad Ben Abdelaziz
  • Ray Saadaoui
  • Meryem Masmoudi

Abstract

This paper compares two novel methods applied to Portfolio Management based on the attractive theory of Optimal Stopping Problems. We test the single criterion standard version of the latter theory against the multi-criteria version. The optimal moment to stop and trade (to Buy or Sell), represents the major challenge of our active management strategy. We subject the stock included in the portfolio to the rules derived from the underlying theory. Our aim is to provide a method that helps portfolio managers create wealth by buying and selling securities (trading). Our algorithm proves its performance when applied to real data, and we compare it with the Buy & Hold Strategy.

Suggested Citation

  • Fouad Ben Abdelaziz & Ray Saadaoui & Meryem Masmoudi, 2018. "Single criterion vs. multi-criteria optimal stopping methods for portfolio management," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 69(10), pages 1557-1567, October.
    • Handle: RePEc:taf:tjorxx:v:69:y:2018:i:10:p:1557-1567
    DOI: 10.1080/01605682.2018.1441638
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    Cited by:

    1. 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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