Equity portfolio construction and selection using multiobjective mathematical programming

Authors:
Panagiotis Xidonas;George Mavrotas;John Psarras
Affiliations:
National Technical University of Athens (NTUA), Athens, Greece;National Technical University of Athens (NTUA), Athens, Greece;National Technical University of Athens (NTUA), Athens, Greece
Venue:
Journal of Global Optimization
Year:
2010

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Abstract

A multi-objective mixed integer programming model for equity portfolio construction and selection is developed in this study, in order to generate the Pareto optimal portfolios, using a novel version of the well known ε-constraint method. Subsequently, an interactive filtering process is also proposed to assist the decision maker in making his/her final choice among the Pareto solutions. The proposed methodology is tested through an application in the Athens Stock Exchange.