Pregled bibliografske jedinice broj: 532488
Two-step multi-criteria model for selecting optimal portfolio
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)
CROSBI ID: 532488 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
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 ) ( CroRIS)
Ustanove:
Fakultet elektrotehnike, strojarstva i brodogradnje, Split,
Ekonomski fakultet, Split
Citiraj ovu publikaciju:
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
