Portfolio selection: A compromise programming solution

被引：28
|
作者：
Ballestero, E [1 ]
Romero, C [1 ]
机构：
[1] TECH UNIV MADRID,MADRID,SPAIN
来源：
JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY | 1996年 / 47卷 / 11期
关键词：
multi-criteria analysis; portfolio selection; utility;
D O I：
10.1057/jors.1996.173
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
A surrogate for an investor's bi-criteria utility function (profitability, safety) is proposed as an alternative methodology for selecting portfolios. The optimum is approximated by resorting to a recent utility theorem expounded in multi-criteria analysis. This method is developed for an 'average' investor and could be used as a routine procedure by investment consultants with incomplete information of the client's utility function.
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页码：1377 / 1386
页数：10
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