TAILIEUCHUNG - Behavioral optimization models for multicriteria portfolio selection

In this paper, behavioral construct of suitability is used to develop a multi-criteria decision making framework for portfolio selection. To achieve this purpose, we rely on multiple methodologies. Analytical hierarchy process technique is used to model the suitability considerations with a view to obtaining the suitability performance score in respect of each asset. | Yugoslav Journal on Operations Research 23(2013) Number 2, 279–297 DOI: BEHAVIORAL OPTIMIZATION MODELS FOR MULTICRITERIA PORTFOLIO SELECTION Mukesh Kumar MEHLAWAT Department of Operational Research, University of Delhi, Delhi, India mukesh0980@ Received: January, 2013 / Accepted: March, 2013 Abstract: In this paper, behavioral construct of suitability is used to develop a multi-criteria decision making framework for portfolio selection. To achieve this purpose, we rely on multiple methodologies. Analytical hierarchy process technique is used to model the suitability considerations with a view to obtaining the suitability performance score in respect of each asset. A fuzzy multiple criteria decision making method is used to obtain the financial quality score of each asset based upon investor’s rating on the financial criteria. Two optimization models are developed for optimal asset allocation considering simultaneously financial and suitability criteria. An empirical study is conducted on randomly selected assets from National Stock Exchange, Mumbai, India to demonstrate the effectiveness of the proposed methodology. Keywords: Portfolio selection; Behavioral optimization model; Fuzzy multiple criteria decision making; Analytical hierarchy process MSC: 90C29; 91G10; 03E72 1. INTRODUCTION Portfolio selection as a field of study began with the Markowitz model [20] in which return is quantified as the mean and risk as the variance. Traditionally, portfolio selection models have solely relied on financial criteria such as 279 280 M. K. Mehlawat / Behavioral Optimization Models For Multicriteria return, risk and liquidity as the determinants of asset quality [1, 8, 9, 12]. Of late, one witnesses some research effort toward incorporating suitability criteria as well. Suitability is a behavioral concept that refers to the propriety of the match between investor-preferences and portfolio characteristics. Financial experts and investment

• Kinh tế học
• Portfolio selection
• Behavioral optimization model
• Fuzzy multiple criteria decision making
• Analytical hierarchy process
• Financial quality score
• Multi objective project portfolio selection
• Multi objective model
• Project Portfolio Selection
• Project Portfolio Management
• Benefit of portfolio performance
• NPD project portfolio selection
• Reinvestment strategy in competitive environment
• New product development
• Zero One integer Programming
• Mean variance optimization
• Optimal portfolio
• Minimum variance portfolio
• Asset allocation
• Portfolio selection model
• Modern portfolio theory
• Exponential synergistic effect
• Project portfolio selection problem
• Real world problem
• Organizations’ financial and physical constraints
• Primarily portfolio optimization problem
• Doctoral dissertation
• Shrinkage estimation of covariance matrix
• Vietnam stock market
• Portfolio performance metrics
• Portfolio optimization
• Objective function
• Artificial intelligence methods
• Genetic algorithm
• Portfolio selection using genetic algorithm
• Data mining tool
• Multiple Criteria Decision Making
• Portfolio of project
• NSGA II algorithm
• A proposed selection process
• The top project portfolio management
• Over the top
• Entering an OTT business
• Communication service providers
• Summary of Doctoral dissertation
• Covariance matrix
• Covariance matrix for portfolio selection
• Project management
• Lecture Project management in practice
• Organisational strategy
• Project selection
• Strategic objectives
• Báo cáo sinh học hay
• cách trình bày báo cáo
• báo cáo sinh học
• công trình nghiên cứu sinh học
• tài liệu về sinh học
• Saliva Testing
• Molecular Epidemiology
• HAART and Causes
• Infected Children
• Cannabinoids – Influence
• Supplementary Therapy
• Monte carlo simulation
• Value at risk
• Equity markets
• Markowitz classical mathematical
• Optimization techniques
• Project evaluation
• Resource management
• Organizational context
• portfolio management
• Marketing planning
• Marketing strategy
• Strategy selection
• Portfolio analysis
• Organizational structure
• Strategic tools
• Optimal options portfolio
• Defining optimal portfolios
• Interdependent real option
• Net present value
• tax considerations
• selection consider
• corporate entities
• Understanding leases
• Commercial leases
• Additional concepts