MCDM'05 - paper no. 16


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Developments in multi-attribute portfolio selection

Ralph Steuer, Yue Qi, Markus Hirschberger


In the paper Developments in Multi-Attribute Portfolio Selection (R.E. Steuer, Y. Qi, M. Hirschberger) the authors explain why it is possible that finance professional view conventional portfolio selection as a single criterion problem, while multiple criteria optimization professionals view it as a bi-criterion problem. Next, they show how, for more complex investors, the theory of mean-variance portfolio selection can be extended to include additional objectives such as dividends, liquidity, turnover, number of securities in a portfolio, and so forth. This is followed by a discussion of the nature of the non-dominated sets of multiple objective portfolio selection problems and current developments for the solution of such problems.

Reference index:

Ralph Steuer, Yue Qi, Markus Hirschberger, (2006), Developments in multi-attribute portfolio selection, Multiple Criteria Decision Making (1), pp. 251-262

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Scopus citations in 14 paper(s):
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