Show simple item record

dc.contributor.authorXidonas, Panosen
dc.contributor.authorHassapis, Christisen
dc.contributor.authorMavrotas, Georgeen
dc.contributor.authorStaikouras, Christosen
dc.contributor.authorZopounidis, Constantinen
dc.creatorXidonas, Panosen
dc.creatorHassapis, Christisen
dc.creatorMavrotas, Georgeen
dc.creatorStaikouras, Christosen
dc.creatorZopounidis, Constantinen
dc.description.abstractWe attempt to establish an integrated portfolio optimization business framework, in order to bridge the underlying gap between the complex mathematical theory of multiobjective mathematical programming and asset management practice. Our aim is to assist practitioners and portfolio managers in formulating successful investment strategies, by providing them with an effective decision support tool. In particular, we propose a multiobjective portfolio model, able to support the simultaneous optimization of multiple investment objectives. We also manage to integrate a set of sophisticated real-world non-convex investment policy limitations, such as the cardinality constraints, the buy-in thresholds, the transaction costs, along with particular normative rules. The underlying investment management rationale of the proposed managerial protocol is displayed through an illustrative business flowchart, while we also provide an analytical step-by-step portfolio management business routine. The validity of the model is verified through an extended empirical testing application on the Eurostoxx 50. According to the results, a sufficient number of efficient or Pareto optimal portfolios produced by the model, appear to possess superior out-of-sample returns with respect to the underlying benchmark. © 2016 Springer Science+Business Media New Yorken
dc.sourceAnnals of Operations Researchen
dc.subjectAsset managementen
dc.subjectEurostoxx 50en
dc.subjectMultiobjective mathematical programmingen
dc.subjectPortfolio optimizationen
dc.titleMultiobjective portfolio optimization: bridging mathematical theory with asset management practiceen
dc.description.endingpage22Σχολή Οικονομικών Επιστημών και Διοίκησης / Faculty of Economics and ManagementΤμήμα Οικονομικών / Department of Economics
dc.contributor.orcidHassapis, Christis [0000-0002-7808-270X]

Files in this item


There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record