A Three Stage Lexicographic Approach for Multi-Criteria Portfolio Optimization by Mixed Integer Programming
نویسنده
چکیده
Abstract. The portfolio optimization problem is formulated as a multi-objective mixed integer program. The problem considered is based on a single period model of investment. The problem objective is to allocate wealth on different assets to maximize the weighted difference of the portfolio expected return, the threshold of the probability that the return is not less than a required level and the amount of wealth to be invested. The results of some computational experiments modeled after a real data from the Warsaw Stock Exchange are reported.
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