Title: Portfolio management within the frame of multiobjective mathematical programming: a categorised bibliographic study

Authors: Panagiotis Xidonas, George Mavrotas, John Psarras

Addresses: Management and Decision Support Systems Laboratory, School of Electrical and Computer Engineering, National Technical University of Athens, 9, Heroon Polytechneiou Str., 15780 Athens, Greece. ' Laboratory of Industrial and Energy Economics, School of Chemical Engineering, National Technical University of Athens, 9, Heroon Polytechneiou Str., 15780 Athens, Greece. ' Management and Decision Support Systems Laboratory, School of Electrical and Computer Engineering National Technical University of Athens, 9, Heroon Polytechneiou Str., 15780 Athens, Greece

Abstract: According to the conventional theory of finance, maximising return with minimum risk should be a milestone of every rational investor. However, contrary to the theoretical expectations of the classical approach, the tests achieved on most financial markets have revealed the existence of more variables, beyond those of risk and return. Moreover, the conventional theory does not take into consideration the investor|s specific preferences and behavioural aspects. Under this rationale, the problem of selecting an attractive portfolio is a multicriteria issue, which should be tackled by using appropriate techniques. It is our purpose in this paper to show that the modelling framework of multiobjective mathematical programming (MMP) constitutes the most solid methodological basis for resolving the inherent multidimensional nature of the portfolio selection problem. We are also trying to capture the existing research activity through an elaborate categorised bibliographic review, regarding the application of MMP techniques in portfolio management.

Keywords: bibliographic study; multiobjective mathematical programming; portfolio management; modelling.

DOI: 10.1504/IJOR.2010.033102

International Journal of Operational Research, 2010 Vol.8 No.1, pp.21 - 41

Published online: 08 May 2010 *

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