TY  - CHAP
AB  - Abstract This chapter presents the survey of selected linear and mixed integer programming multi-objective portfolio optimization. The definitions of selected percentile risk measures are presented. Some contrasts and similarities of the different types of portfolio formulations are drawn out. The survey of multi-criteria methods devoted to portfolio optimization such as weighting approach, lexicographic approach, and reference point method is also presented. This survey presents the nature of the multi-objective portfolio problems focuses on a compromise between the construction of objectives, constraints, and decision variables in a portfolio and the problem complexity of the implemented mathematical models. There is always a trade-off between computational time and the size of an input data, as well as the type of mathematical programming formulation with linear and/or mixed integer variables.
VL  - 16
SN  - 978-1-78190-956-0, 978-1-78190-957-7/0276-8976
DO  - 10.1108/S0276-8976(2013)0000016007
UR  - https://doi.org/10.1108/S0276-8976(2013)0000016007
AU  - Sawik Bartosz
PY  - 2013
Y1  - 2013/01/01
TI  - Survey of multi-objective portfolio optimization by linear and mixed integer programming
T2  - Applications of Management Science
T3  - Applications of Management Science
PB  - Emerald Group Publishing Limited
SP  - 55
EP  - 79
Y2  - 2024/04/25
ER  -