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dc.contributor.authorXidonas, Panosen
dc.contributor.authorMavrotas, Georgeen
dc.contributor.authorHassapis, Christisen
dc.contributor.authorZopounidis, Constantinen
dc.creatorXidonas, Panosen
dc.creatorMavrotas, Georgeen
dc.creatorHassapis, Christisen
dc.creatorZopounidis, Constantinen
dc.date.accessioned2019-05-03T05:23:16Z
dc.date.available2019-05-03T05:23:16Z
dc.date.issued2017
dc.identifier.urihttp://gnosis.library.ucy.ac.cy/handle/7/48071
dc.description.abstractAn efficient frontier in the typical portfolio selection problem provides an illustrative way to express the tradeoffs between return and risk. Following the basic ideas of modern portfolio theory as introduced by Markowitz, security returns are usually extracted from past data. Our purpose in this paper is to incorporate future returns scenarios in the investment decision process. For representative points on the efficient frontier, the minimax regret portfolio is calculated, on the basis of the aforementioned scenarios. These points correspond to specific weight combinations. In this way, the areas of the efficient frontier that are more robust than others are identified. The underlying key-contribution is related to the extension of the conventional minimax regret criterion formulation, in multiobjective programming problems. The validity of the approach is verified through an illustrative empirical testing application on the Eurostoxx 50. © 2017 Elsevier B.V.en
dc.language.isoengen
dc.sourceEuropean Journal of Operational Researchen
dc.subjectFinancial data processingen
dc.subjectInvestmentsen
dc.subjectPortfolio optimizationen
dc.subjectRobustnessen
dc.subjectComputer programmingen
dc.subjectMinimax regreten
dc.subjectMinimax regret criterionen
dc.subjectModern portfolio theoriesen
dc.subjectMulti-objective portfolio optimizationen
dc.subjectMulti-objective programming problemen
dc.subjectMultiobjective optimizationen
dc.subjectMultiple objective programmingen
dc.subjectOptimizationen
dc.subjectPortfolio selection problemsen
dc.subjectRobustness (control systems)en
dc.titleRobust multiobjective portfolio optimization: A minimax regret approachen
dc.typeinfo:eu-repo/semantics/article
dc.identifier.doi10.1016/j.ejor.2017.03.041
dc.description.volume262
dc.description.startingpage299
dc.description.endingpage305
dc.author.facultyΣχολή Οικονομικών Επιστημών και Διοίκησης / Faculty of Economics and Management
dc.author.departmentΤμήμα Οικονομικών / Department of Economics
dc.type.uhtypeArticleen
dc.contributor.orcidHassapis, Christis [0000-0002-7808-270X]
dc.description.totalnumpages299-305
dc.gnosis.orcid0000-0002-7808-270X


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