کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5081244 | 1477593 | 2011 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Two-step multi-criteria model for selecting optimal portfolio
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
سایر رشته های مهندسی
مهندسی صنعتی و تولید
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
In spite of a large number of multi-criteria models applied to solve the problem of optimal portfolio selection and a large number of market criteria and accounting criteria proposed for these models, the problem of portfolio containing securities from different industries has not yet been adequately solved. Namely, neither can stocks of companies from different industries be compared using the same criteria nor can the weight of a particular criteria be equal for them all. Therefore this paper develops a new two-step model that will overcome the shortcomings of the previously used models. The model is divided into two different but related pillars: the choice of different industries to form the overall portfolio and the choice of portfolio for each industry. The multi-criteria model used in this paper is a modified multi-criteria programming model based on the PROMETHEE II approach. The selected model has been applied at the Zagreb Stock Exchange (ZSE) as a real case.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Journal of Production Economics - Volume 134, Issue 1, November 2011, Pages 58-66
Journal: International Journal of Production Economics - Volume 134, Issue 1, November 2011, Pages 58-66
نویسندگان
Branka MarasoviÄ, Zoran BabiÄ,