A hybrid approach for constructing suitable and optimal portfolios

Authors:
Pankaj Gupta;Masahiro Inuiguchi;Mukesh K. Mehlawat
Affiliations:
Department of Operational Research, University of Delhi, Delhi, India;Department of Systems Innovation, Graduate School of Engineering Science, Osaka University, Japan;Department of Operational Research, University of Delhi, Delhi, India
Venue:
Expert Systems with Applications: An International Journal
Year:
2011

Citing 15
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Abstract

The purpose of the paper is to propose a hybrid approach for asset allocation with simultaneous consideration of suitability and optimality. In this approach, recourse is taken to multiple methodologies to simultaneously capture the impersonal characteristics of the financial assets as well as the personal preferences of the investors. Accordingly, the paper draws on Investors' survey to capture their preferences, cluster analysis to categorize the financial assets, the analytical hierarchy process for obtaining local weights (performance scores) of the financial assets corresponding to the four key asset allocation criteria and fuzzy multi-objective linear programming model for portfolio selection.