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| URI | http://purl.tuc.gr/dl/dias/D8929E47-386C-4F69-BB84-93EB68976A06 | - |
| Αναγνωριστικό | https://doi.org/10.1080/01605682.2018.1475118 | - |
| Αναγνωριστικό | https://www.tandfonline.com/doi/full/10.1080/01605682.2018.1475118 | - |
| Γλώσσα | en | - |
| Μέγεθος | 18 pages | en |
| Τίτλος | On the increasing importance of multiple criteria decision aid methods for portfolio selection | en |
| Δημιουργός | Aouni, Belaïd, 1961- | en |
| Δημιουργός | Doumpos Michail | en |
| Δημιουργός | Δουμπος Μιχαηλ | el |
| Δημιουργός | Pérez-Gladish, Blanca | en |
| Δημιουργός | Διπλωματική Εργασία | el |
| Δημιουργός | Diploma Work | en |
| Εκδότης | Taylor & Francis | en |
| Περίληψη | In 1952, Markowitz published his famous paper on portfolio selection that transformed the field of finance. Although over 65 years have passed since then, the mean-variance model remains today the predominant model in portfolio selection. Having endured many criticisms over this period, the one that has perhaps been the most persistent is the fact that mainstream mean-variance theory is unable to accommodate additional criteria beyond expected return and variance. With investment decision-making having become more complex, this is a real problem as many problems with additional criteria exist and are only increasing in number and importance. In this paper, we review the papers that have been published that apply methods and procedures in an exact (as opposed to evolutionary) sense to address problems in portfolio selection with criteria beyond mean and variance. We also analyse the methodologies that allow the solution of the problem in a multiple criteria context, thus extending the features of the mean-variance approach that have caused portfolio theory to have such impact. | en |
| Τύπος | Peer-Reviewed Journal Publication | en |
| Τύπος | Δημοσίευση σε Περιοδικό με Κριτές | el |
| Άδεια Χρήσης | http://creativecommons.org/licenses/by/4.0/ | en |
| Ημερομηνία | 2019-05-31 | - |
| Ημερομηνία Δημοσίευσης | 2018 | - |
| Θεματική Κατηγορία | Multi-objective programming | en |
| Θεματική Κατηγορία | Portfolio selection | en |
| Θεματική Κατηγορία | Multiple criteria decision aid | en |
| Θεματική Κατηγορία | Portfolio optimisation | en |
| Θεματική Κατηγορία | Security selection | en |
| Βιβλιογραφική Αναφορά | B. Aouni, M. Doumpos, B. Pérez-Gladish and R.E. Steuer, "On the increasing importance of multiple criteria decision aid methods for portfolio selection," J. Oper. Res. Soc., vol. 69, no. 10, pp. 1525-1542, Oct. 2018. doi: 10.1080/01605682.2018.1475118 | en |
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