2017 | 12 | 49-59
Article title

Trade-Off Guided Search for Approximate Pareto Optimal Portfolios

Title variants
Languages of publication
In this paper, we attempt to represent the Pareto Front in the Markowitz mean-variance model by two-sided discrete approximations. We discuss the possibility of using such approximations for portfolio selection. The potential of the approach is illustrated by the results of preliminary numerical experiments.
Physical description
  • University of Economics in Katowice. Faculty of Informatics and Communication. Department of Knowledge Engineering
  • Systems Research Institute. Polish Academy of Sciences. Warsaw, Poland
  • Systems Research Institute. Polish Academy of Sciences. Warsaw, Poland
  • Beasley J.E. OR-Library (1991), (10 July 2017).
  • Briec W., Kerstens K., van de Woestynec I. (2013), Portfolio Selection with Skewness: A Comparison of Methods and a Generalized One Fund Result, European Journal of Operational Research, 230(2), 412-421.
  • Chen Y., Mabu S., Hirasawa K. (2011), General Relation Algorithm with Guided Mutation for the Large-scale Portfolio Optimization, Expert Systems with Applications, 38, 3353-3363.
  • Chiam S., Tan K., Mamum A.A. (2008), Evolutionary Multi-objective Portfolio Optimization in Practical Context, International Journal of Automation and Computing, 5(1), 67-80.
  • Deb K., Steuer R.E., Tewari R., Tewari R. (2011), Bi-objective Portfolio Optimization Using a Customized Hybrid NSGA-II Procedure [in:] EMO 2011, eds. R.H.C. Tekahashi et al., LNCS, Springer-Verlag, Berlin, Heidelberg, 6576, 358-373.
  • Ehrgott M. (2005), Multicriteria Optimization, Springer.
  • Elton E.J., Gruber M.J., Brown S.J., Goetzmann W.N. (2014), Modern Portfolio Theory and Investment Analysis, Wiley.
  • Gondzio J., Grothey A. (2007), Solving Nonlinear Portfolio Optimization Problems with the Primal-Dual Interior Point Method, European Journal of Operational Research, 181(3), 1019-1029.
  • Kaliszewski I. (2006), Soft Computing for Complex Multiple Criteria Decision Making, Springer.
  • Kaliszewski I., Miroforidis J. (2009), Multiple Criteria Decision Making: E_cient Outcome Assessments with Evolutionary Optimization [in:] Communications in Computer and Information Science Volume 35, Cutting-Edge Research Topics on Multiple Criteria Decision Making, 20th International Conference, MCDM 2009, Chengdu/Jiuzhaigou, China, June 21-26, 2009, Proceedings, Springer, 25-28.
  • Kaliszewski I., Miroforidis J. (2010), Multiple Criteria Decision Making: From Exact to Heuristic Optimization [in:] Multiple Criteria Decision Making '09, eds. T. Trzaskalik, T. Wachowicz, The University of Economics in Katowice, 113-120.
  • Kaliszewski I., Miroforidis J. (2012), Real and Virtual Pareto Set Upper Approximations [in:] Multiple Criteria Decision Making '11, eds. T. Trzaskalik, T. Wachowicz, The Publisher of University of Economics in Katowice, 121-131.
  • Kaliszewski I., Miroforidis J., Podkopaev D. (2012a), Interactive Multiple Criteria Decision Making Based on Preference Driven Evolutionary Multiobjective Optimization with Controllable Accuracy, European Journal of Operational Research, 216, 188-199.
  • Kaliszewski I., Miroforidis I., Podkopaev D. (2016), Multiple Criteria Decision Making by Multiobjective Optimization - A Toolbox, Springer.
  • Lo A.W., Petrov C., Wierzbicki M. (2003), It's 11pm { Do You Know Where Your Liquidity Is? The Mean-varianceliquidity Frontier, Journal of Investment Management, 1(1), 55-93.
  • Markowitz H.M. (1952), Portfolio Selection, Journal of Finance, 7, 77-91.
  • Markowitz H.M. (1991), Portfolio Selection: E_cient Diversi_cation of Investments, Wiley, Monograph / Cowles Foundation for Research in Economics at Yale University, Wiley.
  • Miettinen K.M. (1999), Nonlinear Multiobjective Optimization, Kluwer Academic Publishers.
  • Miroforidis J. (2010), Decision Making Aid for Operational Management of Department Stores with Multiple Criteria Optimization and Soft Computing, PhD Thesis, Systems Research Institute, Warsaw.
  • Steuer R.E., Qi Y., Hirschberger M. (2011), Comparative Issues in Large-scale Meanvariance Efficient Frontier Computation, Decision Support Systems, 51(2), 250-255.
  • Steuer R.E., Qi Y., Hirschberger M. (2006), Portfolio Optimization: New Capabilities and Future Methods, Journal of Business Economics, 76(2), 199-220.
  • Wierzbicki A.P. (1999), Reference Point Approaches, Multicriteria Decision Making Advances in MCDM Models, Algorithms, Theory, and Applications, International Series in Operations Research and Management Science, Springer, 237-275.
Document Type
Publication order reference
YADDA identifier
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.