Portfolio engineering using the IPSSIS multiobjective optimisation decision support system Online publication date: Sat, 18-Jul-2009
by Panagiotis Xidonas, Dimitris Askounis, John Psarras, George Mavrotas
International Journal of Decision Sciences, Risk and Management (IJDSRM), Vol. 1, No. 1/2, 2009
Abstract: A mixed-integer multiobjective linear programming model for engineering equity portfolios is developed in this article, in order to generate the Pareto optimal portfolios, using a novel version of the well known ε-constraint method. The decision maker's investment policy, i.e., constraints regarding the portfolio structure, are strongly taken into account. The proposed model is implemented and solved using the integrated portfolio synthesis and selection information system (IPSSIS) multiobjective portfolio optimisation decision support system. An illustrative application in the Athens Stock Exchange is also presented.
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Decision Sciences, Risk and Management (IJDSRM):
Login with your Inderscience username and password:
Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.
If you still need assistance, please email subs@inderscience.com