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Author
Mlynarovic Vladimir (University of Economics in Bratislava, Slovakia)
Title
Portfolio Selection Problem and the Best Compromise Portfolio
Zagadnienie optymalnego portfela a najlepszy portfel kompromisowy
Source
Studia Ekonomiczne / Akademia Ekonomiczna w Katowicach, 2000, nr 12, s. 127-137, bibliogr. 15 poz.
Issue title
Badania operacyjne
Keyword
Zarządzanie portfelem inwestycyjnym, Optymalizacja, Decyzje inwestycyjne, Ryzyko inwestycyjne
Management of investment portfolio, Optimalization, Investment decisions, Investment risk
Note
summ.
Abstract
W opracowaniu przedstawiono rodzinę metod zwanych "bezpieczeństwo przede wszystkim" (safety first methods). Reprezentują one podejścia alternatywne w stosunku do metod wykorzystujących pojęcie oczekiwanej użyteczności. Przeanalizowano reguły: Roy'a, Kataoki i Telsera, metodę portfela referencyjnego oraz programowanie kompromisowe. (abstrakt oryginalny)

In the traditional and widely accepted mean-variance approach to portfolio management it is assumed that investors are attempting to maximize the expected utility of the returns from an investment portfolio. This approach holds exactly when investors are expected utility maximizers, prefer more to less, are risk averse, and either security returns are normally distributed or utility functions are quadratic.(fragment of text)
Accessibility
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
Bibliography
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  10. Buchanan J.T., Daellenbach H.G. (1987): A comparative evaluation of interactive solution method for multiple objective decision models. "Eur J Opl Res" No 24.
  11. Buchanan J.T. (1977): A naive approach for solving MCDM problems: the GUESS method. "J Opl Res" No 48.
  12. Steuer R.E., Cho E.U. (1982): An interactive weighted Tchebycheff procedure for multiple objective programing. "Math Prog" No 26.
  13. Zeleny M. (1982): Multiple Criteria Decision Making. McGraw Hill, New York.
  14. Ballestero E" Romero C. (1991): A theorem connecting utility function optimization and compromise programming. "Opns. Res. Letters" No 10.
  15. Ballestero E" Romero C. (1997): Portfolio Selection: A Compromise Pro gramming Solution. "J Opl Res" No 47.
Cited by
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ISSN
2083-8603
Language
eng
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