A Reference Point Approach to Bi-Objective Dynamic Portfolio Optimization

作者: Bartosz Sawik

DOI: 10.7494/DMMS.2009.3.2.73

关键词:

摘要: The portfolio selection problem presented in this paper is formulated as a biobjective mixed integer program. considered based on dynamic model of investment, which the investor buys and sells securities successive investment periods. objective to dynamically allocate wealth different optimize by reference point method expected return probability that not less than required level. In computational experiments dataset daily quotations from Warsaw Stock Exchange were used.

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