Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection
Abstract In standard portfolio theory, an investor is typically taken as having one stochastic objective, to maximize the random variable of portfolio return. But in this paper, we focus on investors whose purpose is to build, more broadly, a “suitable portfolio” taking additional concerns into acco...
Ausführliche Beschreibung
Gespeichert in:
| Autor*in: |
Steuer, Ralph E. [verfasserIn] Qi, Yue [verfasserIn] Hirschberger, Markus [verfasserIn] |
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| Format: |
E-Artikel |
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| Sprache: |
Englisch |
| Erschienen: |
2006 |
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| Schlagwörter: |
Multiple criteria portfolio selection |
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| Übergeordnetes Werk: |
Enthalten in: Annals of operations research - Dordrecht [u.a.] : Springer Science + Business Media B.V, 1984, 152(2006), 1 vom: 07. Dez., Seite 297-317 |
|---|---|
| Übergeordnetes Werk: |
volume:152 ; year:2006 ; number:1 ; day:07 ; month:12 ; pages:297-317 |
| Links: |
|---|
| DOI / URN: |
10.1007/s10479-006-0137-1 |
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SPR01061625X |
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| 520 | |a Abstract In standard portfolio theory, an investor is typically taken as having one stochastic objective, to maximize the random variable of portfolio return. But in this paper, we focus on investors whose purpose is to build, more broadly, a “suitable portfolio” taking additional concerns into account. Such investors would have additional stochastic and deterministic objectives that might include liquidity, dividends, number of securities in a portfolio, social responsibility, and so forth. To accommodate such investors, we develop a multiple criteria portfolio selection formulation, corroborate its appropriateness by examining the sensitivity of the nondominated frontier to various factors, and observe the conversion of the nondominated frontier to a nondominated surface. Furthermore, multiple criteria enable us to provide an explanation as to why the “market portfolio,” so often found deep below the nondominated frontier, is roughly where one would expect it to be with multiple criteria. After commenting on solvability issues, the paper concludes with the idea that what is the “modern portfolio theory” of today might well be interpreted as a projection onto two-space of a real multiple criteria portfolio selection problem from higher dimensional space. | ||
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| 650 | 4 | |a Suitable-portfolio investors |7 (dpeaa)DE-He213 | |
| 650 | 4 | |a Market portfolio |7 (dpeaa)DE-He213 | |
| 650 | 4 | |a Nondominated surfaces |7 (dpeaa)DE-He213 | |
| 650 | 4 | |a Nondominated frontier sensitivity |7 (dpeaa)DE-He213 | |
| 700 | 1 | |a Qi, Yue |e verfasserin |4 aut | |
| 700 | 1 | |a Hirschberger, Markus |e verfasserin |4 aut | |
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10.1007/s10479-006-0137-1 doi (DE-627)SPR01061625X (SPR)s10479-006-0137-1-e DE-627 ger DE-627 rakwb eng 004 ASE 004 ASE 85.03 bkl Steuer, Ralph E. verfasserin aut Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection 2006 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Abstract In standard portfolio theory, an investor is typically taken as having one stochastic objective, to maximize the random variable of portfolio return. But in this paper, we focus on investors whose purpose is to build, more broadly, a “suitable portfolio” taking additional concerns into account. Such investors would have additional stochastic and deterministic objectives that might include liquidity, dividends, number of securities in a portfolio, social responsibility, and so forth. To accommodate such investors, we develop a multiple criteria portfolio selection formulation, corroborate its appropriateness by examining the sensitivity of the nondominated frontier to various factors, and observe the conversion of the nondominated frontier to a nondominated surface. Furthermore, multiple criteria enable us to provide an explanation as to why the “market portfolio,” so often found deep below the nondominated frontier, is roughly where one would expect it to be with multiple criteria. After commenting on solvability issues, the paper concludes with the idea that what is the “modern portfolio theory” of today might well be interpreted as a projection onto two-space of a real multiple criteria portfolio selection problem from higher dimensional space. Multiple criteria portfolio selection (dpeaa)DE-He213 Multi-attribute portfolio selection (dpeaa)DE-He213 Stochastic objectives (dpeaa)DE-He213 Suitable-portfolio investors (dpeaa)DE-He213 Market portfolio (dpeaa)DE-He213 Nondominated surfaces (dpeaa)DE-He213 Nondominated frontier sensitivity (dpeaa)DE-He213 Qi, Yue verfasserin aut Hirschberger, Markus verfasserin aut Enthalten in Annals of operations research Dordrecht [u.a.] : Springer Science + Business Media B.V, 1984 152(2006), 1 vom: 07. Dez., Seite 297-317 (DE-627)320615421 (DE-600)2021913-1 1572-9338 nnns volume:152 year:2006 number:1 day:07 month:12 pages:297-317 https://dx.doi.org/10.1007/s10479-006-0137-1 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_101 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2070 GBV_ILN_2086 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2116 GBV_ILN_2118 GBV_ILN_2119 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 85.03 ASE AR 152 2006 1 07 12 297-317 |
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10.1007/s10479-006-0137-1 doi (DE-627)SPR01061625X (SPR)s10479-006-0137-1-e DE-627 ger DE-627 rakwb eng 004 ASE 004 ASE 85.03 bkl Steuer, Ralph E. verfasserin aut Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection 2006 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Abstract In standard portfolio theory, an investor is typically taken as having one stochastic objective, to maximize the random variable of portfolio return. But in this paper, we focus on investors whose purpose is to build, more broadly, a “suitable portfolio” taking additional concerns into account. Such investors would have additional stochastic and deterministic objectives that might include liquidity, dividends, number of securities in a portfolio, social responsibility, and so forth. To accommodate such investors, we develop a multiple criteria portfolio selection formulation, corroborate its appropriateness by examining the sensitivity of the nondominated frontier to various factors, and observe the conversion of the nondominated frontier to a nondominated surface. Furthermore, multiple criteria enable us to provide an explanation as to why the “market portfolio,” so often found deep below the nondominated frontier, is roughly where one would expect it to be with multiple criteria. After commenting on solvability issues, the paper concludes with the idea that what is the “modern portfolio theory” of today might well be interpreted as a projection onto two-space of a real multiple criteria portfolio selection problem from higher dimensional space. Multiple criteria portfolio selection (dpeaa)DE-He213 Multi-attribute portfolio selection (dpeaa)DE-He213 Stochastic objectives (dpeaa)DE-He213 Suitable-portfolio investors (dpeaa)DE-He213 Market portfolio (dpeaa)DE-He213 Nondominated surfaces (dpeaa)DE-He213 Nondominated frontier sensitivity (dpeaa)DE-He213 Qi, Yue verfasserin aut Hirschberger, Markus verfasserin aut Enthalten in Annals of operations research Dordrecht [u.a.] : Springer Science + Business Media B.V, 1984 152(2006), 1 vom: 07. Dez., Seite 297-317 (DE-627)320615421 (DE-600)2021913-1 1572-9338 nnns volume:152 year:2006 number:1 day:07 month:12 pages:297-317 https://dx.doi.org/10.1007/s10479-006-0137-1 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_101 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2070 GBV_ILN_2086 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2116 GBV_ILN_2118 GBV_ILN_2119 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 85.03 ASE AR 152 2006 1 07 12 297-317 |
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10.1007/s10479-006-0137-1 doi (DE-627)SPR01061625X (SPR)s10479-006-0137-1-e DE-627 ger DE-627 rakwb eng 004 ASE 004 ASE 85.03 bkl Steuer, Ralph E. verfasserin aut Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection 2006 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Abstract In standard portfolio theory, an investor is typically taken as having one stochastic objective, to maximize the random variable of portfolio return. But in this paper, we focus on investors whose purpose is to build, more broadly, a “suitable portfolio” taking additional concerns into account. Such investors would have additional stochastic and deterministic objectives that might include liquidity, dividends, number of securities in a portfolio, social responsibility, and so forth. To accommodate such investors, we develop a multiple criteria portfolio selection formulation, corroborate its appropriateness by examining the sensitivity of the nondominated frontier to various factors, and observe the conversion of the nondominated frontier to a nondominated surface. Furthermore, multiple criteria enable us to provide an explanation as to why the “market portfolio,” so often found deep below the nondominated frontier, is roughly where one would expect it to be with multiple criteria. After commenting on solvability issues, the paper concludes with the idea that what is the “modern portfolio theory” of today might well be interpreted as a projection onto two-space of a real multiple criteria portfolio selection problem from higher dimensional space. Multiple criteria portfolio selection (dpeaa)DE-He213 Multi-attribute portfolio selection (dpeaa)DE-He213 Stochastic objectives (dpeaa)DE-He213 Suitable-portfolio investors (dpeaa)DE-He213 Market portfolio (dpeaa)DE-He213 Nondominated surfaces (dpeaa)DE-He213 Nondominated frontier sensitivity (dpeaa)DE-He213 Qi, Yue verfasserin aut Hirschberger, Markus verfasserin aut Enthalten in Annals of operations research Dordrecht [u.a.] : Springer Science + Business Media B.V, 1984 152(2006), 1 vom: 07. Dez., Seite 297-317 (DE-627)320615421 (DE-600)2021913-1 1572-9338 nnns volume:152 year:2006 number:1 day:07 month:12 pages:297-317 https://dx.doi.org/10.1007/s10479-006-0137-1 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_101 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2070 GBV_ILN_2086 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2116 GBV_ILN_2118 GBV_ILN_2119 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 85.03 ASE AR 152 2006 1 07 12 297-317 |
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10.1007/s10479-006-0137-1 doi (DE-627)SPR01061625X (SPR)s10479-006-0137-1-e DE-627 ger DE-627 rakwb eng 004 ASE 004 ASE 85.03 bkl Steuer, Ralph E. verfasserin aut Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection 2006 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Abstract In standard portfolio theory, an investor is typically taken as having one stochastic objective, to maximize the random variable of portfolio return. But in this paper, we focus on investors whose purpose is to build, more broadly, a “suitable portfolio” taking additional concerns into account. Such investors would have additional stochastic and deterministic objectives that might include liquidity, dividends, number of securities in a portfolio, social responsibility, and so forth. To accommodate such investors, we develop a multiple criteria portfolio selection formulation, corroborate its appropriateness by examining the sensitivity of the nondominated frontier to various factors, and observe the conversion of the nondominated frontier to a nondominated surface. Furthermore, multiple criteria enable us to provide an explanation as to why the “market portfolio,” so often found deep below the nondominated frontier, is roughly where one would expect it to be with multiple criteria. After commenting on solvability issues, the paper concludes with the idea that what is the “modern portfolio theory” of today might well be interpreted as a projection onto two-space of a real multiple criteria portfolio selection problem from higher dimensional space. Multiple criteria portfolio selection (dpeaa)DE-He213 Multi-attribute portfolio selection (dpeaa)DE-He213 Stochastic objectives (dpeaa)DE-He213 Suitable-portfolio investors (dpeaa)DE-He213 Market portfolio (dpeaa)DE-He213 Nondominated surfaces (dpeaa)DE-He213 Nondominated frontier sensitivity (dpeaa)DE-He213 Qi, Yue verfasserin aut Hirschberger, Markus verfasserin aut Enthalten in Annals of operations research Dordrecht [u.a.] : Springer Science + Business Media B.V, 1984 152(2006), 1 vom: 07. Dez., Seite 297-317 (DE-627)320615421 (DE-600)2021913-1 1572-9338 nnns volume:152 year:2006 number:1 day:07 month:12 pages:297-317 https://dx.doi.org/10.1007/s10479-006-0137-1 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_101 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2070 GBV_ILN_2086 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2116 GBV_ILN_2118 GBV_ILN_2119 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 85.03 ASE AR 152 2006 1 07 12 297-317 |
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Steuer, Ralph E. |
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Steuer, Ralph E. ddc 004 bkl 85.03 misc Multiple criteria portfolio selection misc Multi-attribute portfolio selection misc Stochastic objectives misc Suitable-portfolio investors misc Market portfolio misc Nondominated surfaces misc Nondominated frontier sensitivity Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection |
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suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection |
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Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection |
| abstract |
Abstract In standard portfolio theory, an investor is typically taken as having one stochastic objective, to maximize the random variable of portfolio return. But in this paper, we focus on investors whose purpose is to build, more broadly, a “suitable portfolio” taking additional concerns into account. Such investors would have additional stochastic and deterministic objectives that might include liquidity, dividends, number of securities in a portfolio, social responsibility, and so forth. To accommodate such investors, we develop a multiple criteria portfolio selection formulation, corroborate its appropriateness by examining the sensitivity of the nondominated frontier to various factors, and observe the conversion of the nondominated frontier to a nondominated surface. Furthermore, multiple criteria enable us to provide an explanation as to why the “market portfolio,” so often found deep below the nondominated frontier, is roughly where one would expect it to be with multiple criteria. After commenting on solvability issues, the paper concludes with the idea that what is the “modern portfolio theory” of today might well be interpreted as a projection onto two-space of a real multiple criteria portfolio selection problem from higher dimensional space. |
| abstractGer |
Abstract In standard portfolio theory, an investor is typically taken as having one stochastic objective, to maximize the random variable of portfolio return. But in this paper, we focus on investors whose purpose is to build, more broadly, a “suitable portfolio” taking additional concerns into account. Such investors would have additional stochastic and deterministic objectives that might include liquidity, dividends, number of securities in a portfolio, social responsibility, and so forth. To accommodate such investors, we develop a multiple criteria portfolio selection formulation, corroborate its appropriateness by examining the sensitivity of the nondominated frontier to various factors, and observe the conversion of the nondominated frontier to a nondominated surface. Furthermore, multiple criteria enable us to provide an explanation as to why the “market portfolio,” so often found deep below the nondominated frontier, is roughly where one would expect it to be with multiple criteria. After commenting on solvability issues, the paper concludes with the idea that what is the “modern portfolio theory” of today might well be interpreted as a projection onto two-space of a real multiple criteria portfolio selection problem from higher dimensional space. |
| abstract_unstemmed |
Abstract In standard portfolio theory, an investor is typically taken as having one stochastic objective, to maximize the random variable of portfolio return. But in this paper, we focus on investors whose purpose is to build, more broadly, a “suitable portfolio” taking additional concerns into account. Such investors would have additional stochastic and deterministic objectives that might include liquidity, dividends, number of securities in a portfolio, social responsibility, and so forth. To accommodate such investors, we develop a multiple criteria portfolio selection formulation, corroborate its appropriateness by examining the sensitivity of the nondominated frontier to various factors, and observe the conversion of the nondominated frontier to a nondominated surface. Furthermore, multiple criteria enable us to provide an explanation as to why the “market portfolio,” so often found deep below the nondominated frontier, is roughly where one would expect it to be with multiple criteria. After commenting on solvability issues, the paper concludes with the idea that what is the “modern portfolio theory” of today might well be interpreted as a projection onto two-space of a real multiple criteria portfolio selection problem from higher dimensional space. |
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1 |
| title_short |
Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection |
| url |
https://dx.doi.org/10.1007/s10479-006-0137-1 |
| remote_bool |
true |
| author2 |
Qi, Yue Hirschberger, Markus |
| author2Str |
Qi, Yue Hirschberger, Markus |
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320615421 |
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c |
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| doi_str |
10.1007/s10479-006-0137-1 |
| up_date |
2024-07-03T17:14:50.973Z |
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| score |
7.400587 |