- -

Portfolio selection from multiple benchmarks: a goal programming approach to an actual case

RiuNet: Institutional repository of the Polithecnic University of Valencia

Share/Send to

Cited by

Statistics

Portfolio selection from multiple benchmarks: a goal programming approach to an actual case

Show simple item record

Files in this item

dc.contributor.author Bravo Sellés, Milagros es_ES
dc.contributor.author Pla Santamaría, David es_ES
dc.contributor.author Garcia-Bernabeu, A. es_ES
dc.date.accessioned 2016-10-04T08:37:18Z
dc.date.available 2016-10-04T08:37:18Z
dc.date.issued 2010
dc.identifier.issn 1099-1360
dc.identifier.uri http://hdl.handle.net/10251/71084
dc.description.abstract This paper deals with benchmark-based portfolio choice for buy-and-hold strategies of investing. Multiple benchmarks for returns are considered, which is more realistic than taking a unique benchmark – a unique aspiration difficult to select in practice among the various aspirations for returns that the investor has in mind. Portfolio selection with multiple benchmarks leads to a multi-objective problem, which is addressed by mean value – stochastic goal programming. In particular, two benchmarks are considered, which involves two goals. Weights for goals depend on investor's preferences and Arrow's absolute risk aversion coefficients. An efficient frontier of portfolios is obtained. Advantages of this stochastic method in our context are as follows: (i) Mean value-stochastic goal programming relies on classical utility theory under uncertainty and Arrow's absolute risk aversion, which ensures soundness and strictness, and (ii) the numerical model is easily solved by using available software such as mean–variance software. Numerical results are tabulated and discussed. Copyright © 2011 John Wiley & Sons, Ltd. es_ES
dc.language Inglés es_ES
dc.publisher Wiley es_ES
dc.relation.ispartof Journal of Multi-Criteria Decision Analysis es_ES
dc.rights Reserva de todos los derechos es_ES
dc.subject Goal programming es_ES
dc.subject Multi-objective es_ES
dc.subject Investment es_ES
dc.subject Benchmark es_ES
dc.subject Finance es_ES
dc.subject.classification ECONOMIA APLICADA es_ES
dc.title Portfolio selection from multiple benchmarks: a goal programming approach to an actual case es_ES
dc.type Artículo es_ES
dc.identifier.doi 10.1002/mcda.460
dc.rights.accessRights Cerrado es_ES
dc.contributor.affiliation Universitat Politècnica de València. Escuela Politécnica Superior de Alcoy - Escola Politècnica Superior d'Alcoi es_ES
dc.description.bibliographicCitation Bravo Selles, M.; Pla Santamaría, D.; Garcia-Bernabeu, A. (2010). Portfolio selection from multiple benchmarks: a goal programming approach to an actual case. Journal of Multi-Criteria Decision Analysis. 17(5-6):155-166. doi:10.1002/mcda.460 es_ES
dc.description.accrualMethod S es_ES
dc.relation.publisherversion http://dx.doi.org/10.1002/mcda.460 es_ES
dc.description.upvformatpinicio 155 es_ES
dc.description.upvformatpfin 166 es_ES
dc.type.version info:eu-repo/semantics/publishedVersion es_ES
dc.description.volume 17 es_ES
dc.description.issue 5-6 es_ES
dc.relation.senia 204315 es_ES


This item appears in the following Collection(s)

Show simple item record