Yugoslav Journal of Operations Research
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2013, vol. 23, br. 2, str. 279-297
Behavioral optimization models for multicriteria portfolio selection
(naslov ne postoji na srpskom)
Department of Operational Research, University of Delhi, Delhi, India

Ključne reči: Portfolio selection; Behavioral optimization model; Fuzzy multiple criteria decision making; Analytical hierarchy process
(ne postoji na srpskom)
In this paper, behavioral construct of suitability is used to develop a multi-criteria decision making framework for portfolio selection. To achieve this purpose, we rely on multiple methodologies. Analytical hierarchy process technique is used to model the suitability considerations with a view to obtaining the suitability performance score in respect of each asset. A fuzzy multiple criteria decision making method is used to obtain the financial quality score of each asset based upon investor’s rating on the financial criteria. Two optimization models are developed for optimal asset allocation considering simultaneously financial and suitability criteria. An empirical study is conducted on randomly selected assets from National Stock Exchange, Mumbai, India to demonstrate the effectiveness of the proposed methodology.
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O članku

jezik rada: engleski
vrsta rada: neklasifikovan
DOI: 10.2298/YJOR130304028M
objavljen u SCIndeksu: 02.09.2013.