Effects of multiple criteria on portfolio optimization
International Journal of Information Technology and Decision Making, ISSN: 0219-6220, Vol: 13, Issue: 1, Page: 77-99
2014
- 13Citations
- 15Captures
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Example: if you select the 1-year option for an article published in 2019 and a metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019. If you select the 3-year option for the same article published in 2019 and the metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019, 2018 and 2017.
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Article Description
We study the effects of considering different criteria simultaneously on portfolio optimization. Using a single-period optimization setting, we use various combinations of expected return, variance, liquidity and Conditional Value at Risk criteria. With stocks from Borsa Istanbul, we make computational studies to show the effects of these criteria on objective and decision spaces. We also consider cardinality and weight constraints and study their effects on the results. In general, we observe that considering alternative criteria results in enlarged regions in the efficient frontier that may be of interest to the decision maker. We discuss the results of our experiments and provide insights. © 2014 World Scientific Publishing Company.
Bibliographic Details
http://www.scopus.com/inward/record.url?partnerID=HzOxMe3b&scp=84893648052&origin=inward; http://dx.doi.org/10.1142/s0219622014500047; https://www.worldscientific.com/doi/abs/10.1142/S0219622014500047; https://www.worldscientific.com/doi/pdf/10.1142/S0219622014500047; http://www.worldscientific.com/doi/abs/10.1142/S0219622014500047; http://www.worldscientific.com/doi/pdf/10.1142/S0219622014500047
World Scientific Pub Co Pte Lt
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