EFFECTS OF MULTIPLE CRITERIA ON PORTFOLIO OPTIMIZATION

Date

2014-01-01

Author

Ceren, Tuncer Sakar
Köksalan, Mustafa Murat

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This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

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We study the effects of considering different criteria simultaneously on portfolio optimization. Using a single-period optimization setting, we use various combinations of expected return, variance, liquidity and Conditional Value at Risk criteria. With stocks from Borsa Istanbul, we make computational studies to show the effects of these criteria on objective and decision spaces. We also consider cardinality and weight constraints and study their effects on the results. In general, we observe that considering alternative criteria results in enlarged regions in the effi-cient frontier that may be of interest to the decision maker. We discuss the results of our experiments and provide insights.

Subject Keywords

Computer Science (miscellaneous)

URI

https://hdl.handle.net/11511/51025

Journal

INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING

DOI

https://doi.org/10.1142/s0219622014500047

Collections

Department of Industrial Engineering, Article

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Citation Formats

T. S. Ceren and M. M. Köksalan, “EFFECTS OF MULTIPLE CRITERIA ON PORTFOLIO OPTIMIZATION,” INTERNATIONAL JOURNAL OF INFORMATION TECHNOLOGY & DECISION MAKING, pp. 77–99, 2014, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/51025.