Portfolio selection: A compromise programming solution

被引：27

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.

引用

页码：1377 / 1386

页数：10

共 20 条

[1]

Arrow K.J., 1965, Aspects of the theory of risk-bearing

[2] A THEOREM CONNECTING UTILITY FUNCTION OPTIMIZATION AND COMPROMISE PROGRAMMING [J].