Repository logo

Browsing by Subject "bi-objective dynamic portfolio optimization"

Filter results by typing the first few letters
Now showing 1 - 1 of 1
  • thumbnail.journal.alt
    Item type:Article, Access status: Open Access ,
    A weighted-sum mixed integer program for bi-objective dynamic portfolio optimization
    (Wydawnictwa AGH, 2009) Sawik, Bartosz
    The portfolio selection problem presented in this paper is formulated as a bi-objective mixed integer program. The portfolio selection problem considered is based on a dynamic model of investment, in which the investor buys and sells securities in successive investment periods. The problem objective is to dynamically allocate the wealth on different securities to optimize the weighted difference of the portfolio expected return and the probability that the return is not less than a required level. In computational experiments the dataset of daily quotations from the Warsaw Stock Exchange were used.