Panagiotis Xidonas, D. Askounis, J. Psarras, G. Mavrotas
{"title":"投资组合工程使用IPSSIS多目标优化决策支持系统","authors":"Panagiotis Xidonas, D. Askounis, J. Psarras, G. Mavrotas","doi":"10.1504/IJDSRM.2009.027245","DOIUrl":null,"url":null,"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.","PeriodicalId":170104,"journal":{"name":"International Journal of Decision Sciences, Risk and Management","volume":"49 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2009-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"5","resultStr":"{\"title\":\"Portfolio engineering using the IPSSIS multiobjective optimisation decision support system\",\"authors\":\"Panagiotis Xidonas, D. Askounis, J. Psarras, G. Mavrotas\",\"doi\":\"10.1504/IJDSRM.2009.027245\",\"DOIUrl\":null,\"url\":null,\"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.\",\"PeriodicalId\":170104,\"journal\":{\"name\":\"International Journal of Decision Sciences, Risk and Management\",\"volume\":\"49 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2009-07-20\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"5\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Journal of Decision Sciences, Risk and Management\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1504/IJDSRM.2009.027245\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Decision Sciences, Risk and Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1504/IJDSRM.2009.027245","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Portfolio engineering using the IPSSIS multiobjective optimisation decision support system
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.
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
