Portfolio engineering using the IPSSIS multiobjective optimisation decision support system

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 e-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.