Multicriteria Portfolio Management

Abstract

The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a speci fi c statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. While the advice and information in this book are believed to be true and accurate at the date of publication, neither the authors nor the editors nor the publisher can accept any legal responsibility for any errors or omissions that may be made. The publisher makes no warranty, express or implied, with respect to the material contained herein.

Computational approaches and data analytics in financial services: A literature review

“…The portfolio management process involves various issues Xidonas, Mavrotas, Krintas, Psarras, & Zopounidis, 2012). In the following sub-sections, we cover asset screening, portfolio allocation, and trading, focusing on the computational and data analytics methodologies used in each area.…”

Mutual fund performance benchmarking using a quadratic directional distance function approach

“…Although recent studies propose more complex decision models (see for example , Hallerbach et. al., 2004;Bollen 2007;Xidonas et al, 2012), Markowitz's mean-variance model is a widely used portfolio selection model.…”

Principles for drafting an investment policy with illustrations

“…The new paradigm proposed by Markowitz along with the pioneering work on capital asset pricing by William Sharpe (1963, 1964 proved to be a remarkably fertile methodology for investigating numerous aspects of portfolio selection. Recent books on portfolio management by Xidonas et al (2012) and asset pricing by Duffie (2001) and Cochrane (2005) document very thoroughly all the significant theoretical discoveries for the construction and management of portfolios. In addition the amazing accumulation of global wealth, currently valued at about $70 trillion (for just equity and bonds and in the hundreds of trillions if derivative assets are included), is placing a formidable burden to quickly implement theoretical discoveries into principles of applied portfolio management.…”