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Pregled bibliografske jedinice broj: 532488

Two-step multi-criteria model for selecting optimal portfolio


Marasović, Branka; Babić, Zoran
Two-step multi-criteria model for selecting optimal portfolio // International journal of production economics, 134 (2011), 1; 58-66 doi:10.1016/j.ijpe.2011.04.026 (međunarodna recenzija, članak, znanstveni)


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Naslov
Two-step multi-criteria model for selecting optimal portfolio

Autori
Marasović, Branka ; Babić, Zoran

Izvornik
International journal of production economics (0925-5273) 134 (2011), 1; 58-66

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
financial risk management; portfolio selection; multi-criteria; PROMETHEE

Sažetak
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.

Izvorni jezik
Engleski

Znanstvena područja
Matematika, Strojarstvo, Ekonomija



POVEZANOST RADA


Projekti:
023-0231926-2194 - Tehnološko-organizacijsko optimiranje kompetencijske stanice
055-0000000-1435 - Matematički modeli u analizi razvoja hrvatskog financijskog tržišta (Aljinović, Zdravka, MZOS ) ( POIROT)

Ustanove:
Fakultet elektrotehnike, strojarstva i brodogradnje, Split,
Ekonomski fakultet, Split

Profili:

Avatar Url Branka Marasović (autor)

Avatar Url Zoran Babić (autor)

Poveznice na cjeloviti tekst rada:

doi ac.els-cdn.com www.sciencedirect.com dx.doi.org

Citiraj ovu publikaciju:

Marasović, Branka; Babić, Zoran
Two-step multi-criteria model for selecting optimal portfolio // International journal of production economics, 134 (2011), 1; 58-66 doi:10.1016/j.ijpe.2011.04.026 (međunarodna recenzija, članak, znanstveni)
Marasović, B. & Babić, Z. (2011) Two-step multi-criteria model for selecting optimal portfolio. International journal of production economics, 134 (1), 58-66 doi:10.1016/j.ijpe.2011.04.026.
@article{article, author = {Marasovi\'{c}, Branka and Babi\'{c}, Zoran}, year = {2011}, pages = {58-66}, DOI = {10.1016/j.ijpe.2011.04.026}, keywords = {financial risk management, portfolio selection, multi-criteria, PROMETHEE}, journal = {International journal of production economics}, doi = {10.1016/j.ijpe.2011.04.026}, volume = {134}, number = {1}, issn = {0925-5273}, title = {Two-step multi-criteria model for selecting optimal portfolio}, keyword = {financial risk management, portfolio selection, multi-criteria, PROMETHEE} }
@article{article, author = {Marasovi\'{c}, Branka and Babi\'{c}, Zoran}, year = {2011}, pages = {58-66}, DOI = {10.1016/j.ijpe.2011.04.026}, keywords = {financial risk management, portfolio selection, multi-criteria, PROMETHEE}, journal = {International journal of production economics}, doi = {10.1016/j.ijpe.2011.04.026}, volume = {134}, number = {1}, issn = {0925-5273}, title = {Two-step multi-criteria model for selecting optimal portfolio}, keyword = {financial risk management, portfolio selection, multi-criteria, PROMETHEE} }

Časopis indeksira:


  • Current Contents Connect (CCC)
  • Web of Science Core Collection (WoSCC)
    • Science Citation Index Expanded (SCI-EXP)
    • SCI-EXP, SSCI i/ili A&HCI
  • Scopus
  • EconLit


Uključenost u ostale bibliografske baze podataka::


  • ABI/INFORM
  • INSPEC


Citati:





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