Abstract
A mixed-integer multiobjective linear programming model for engineering equity portfolios is developed in this article, in order to generate the Pareto optimal portfolios, using a novel version of the well known e-constraint method. The decision maker's investment policy, i.e., constraints regarding the portfolio structure, are strongly taken into account. The proposed model is implemented and solved using the integrated portfolio synthesis and selection information system (IPSSIS) multiobjective portfolio optimisation decision support system. An illustrative application in the Athens Stock Exchange is also presented.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: International Journal of Decision Sciences, Risk and Management
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
