Ranking of optimal stock portfolios determined on the basis of expected utility maximization criterion

Almgren, R., Thum, C., Hauptmann, E., & Li, H. (2005). Direct estimation of equity market impact. Risk, 18, 5-26. Retrieved from https://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.146.1241&rep=rep1&type=pdf Search in Google Scholar

Aouni, B., Colapinto, C., & La Torre, D. (2014, April). Financial portfolio management through the goal programming model: Current state-of-the-art. European Journal of Operational Research, 234(2), 536-545. https://doi.org/10.1016/j.ejor.2013.09.04010.1016/j.ejor.2013.09.040 Search in Google Scholar

Aouni, B., Doumpos, M., Pérez-Gladish, B., & Steuer, R. E. (2018). On the increasing importance of multiple criteria decision aid methods for portfolio selection. Journal of the Operational Research Society, 69(10), 1525-1542. https://doi.org/10.1080/01605682.2018.147511810.1080/01605682.2018.1475118 Search in Google Scholar

Azmi, R., & Tamiz, M. (2010). A review of goal programming for portfolio selection. In D. Jones, M. Tamiz, & J. Ries (Eds.), New developments in multiple objective and goal programming (Lecture Notes in Economics and Mathematical Systems, Vol. 638; pp. 15-33). Berlin: Springer. https://doi.org/10.1007/978-3-642-10354-4_210.1007/978-3-642-10354-4_2 Search in Google Scholar

Balcerowicz-Szkutnik, M., & Sojka E. (2011). Metody jakościowe i ilościowe w rozwiązywaniu problemów społecznych [Qualitative and quantitative methods in solving social problems]. Katowice: Wydawnictwo Uniwersytetu Ekonomicznego. Search in Google Scholar

Bodnar, T., Okhrin, Y., Vitlinskyy, V., & Zabolotskyy, T. (2018). Determination and estimation of risk aversion coefficients. Computational Management Science, 15, 297-317. https://doi.org/10.1007/s10287-018-0317-x10.1007/s10287-018-0317-x Search in Google Scholar

Bodnar, T., & Schmid, W. (2008). Estimation of optimal portfolio compositions for gaussian returns. Statistics & Risk Modeling, 26(3), 179-201. https://doi.org/10.1524/stnd.2008.091810.1524/stnd.2008.0918 Search in Google Scholar

Bodnar, T., & Schmid, W. (2009). Econometrical analysis of the sample efficient frontier. European Journal of Finance, 15(3) 317-335. https://doi.org/10.1080/1351847080242347810.1080/13518470802423478 Search in Google Scholar

Bodnar, T., & Schmid, W. (2011). On the exact distribution of the estimated expected utility portfolio weights: Theory and applications. Statistics & Risk Modeling, 28(4), 319-342. https://doi.org/10.1524/strm.2011.108010.1524/strm.2011.1080 Search in Google Scholar

Boyd, S., Mueller, M. T., O’Donoghue, B., & Wang, Y. (2013) Performance bounds and suboptimal policies for multi-period investment. Foundations and Trends in Optimization, 1(1), 1-69. Retrieved from https://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.398.7263&rep=rep1&type=pdf10.1561/2400000001 Search in Google Scholar

Brandt, M. W., & Santa-Clara, P. (2006). Dynamic portfolio selection by augmenting the asset space. Journal of Finance, 61(5), 2187-2217. https://doi.org/10.1111/j.1540-6261.2006.01055.x10.1111/j.1540-6261.2006.01055.x Search in Google Scholar

Chopra, V. K., & Ziemba, W. T. (2011). The effect of errors in means, variances, and covariances on optimal portfolio choice. In C. L. MacLean, E. O. Thorp, & W. T. Ziemba (Eds.), The Kelly capital growth investment criterion: Theory and practice (World Scientific Handbook in Financial Economic Series, pp. 249-257). Hackensack, NJ: World Scientific Publishing. https://doi.org/10.1142/759810.1142/7598 Search in Google Scholar

Clarke, R., De Silva, H., & Thorley, S. (2002). Portfolio constraints and the fundamental law of active management. Financial Analysts Journal, 58, 48-66, Retrieved from https://faculty.fuqua.duke.edu/~charvey/Teaching/BA491_2005/Transfer_coefficient.pdf10.2469/faj.v58.n5.2468 Search in Google Scholar

Cremers, J.-H., Kritzman, M., & Page, S. (2005). Optimal hedge fund allocations: Do higher moments matter? Journal of Portfolio Management, 31(3), 70-81. https://doi.org/10.3905/jpm.2005.50035610.3905/jpm.2005.500356 Search in Google Scholar

Doering, J., Juan, A. A., Kizys, R., Fito, A., & Calvet, L. (2016). Solving realistic portfolio optimization problems via metaheuristics: A survey and an example. In R. León, M. Muñoz-Torres, J. Moneva (Eds.), Modeling and simulation in engineering, economics and management (Lecture Notes in Business Information Processing, Vol. 254, pp. 22-30). Cham: Springer. https://doi.org/10.1007/978-3-319-40506-3_310.1007/978-3-319-40506-3_3 Search in Google Scholar

Duan, Y. C. (2007). A multi-objective approach to portfolio optimization. Rose-Hulman Undergraduate Mathematics Journal, 8(1), 1-18. Retrieved from https://scholar.rose-hulman.edu/rhumj/vol8/iss1/12 Search in Google Scholar

Farkhati, F., Hoyyi, A., & Wilandari, Y. (2014). Analisis pembentukan portofolio optimal saham dengan pendekatan optimisasi multiobjektif untuk pengukuran value at risk [Analysis of the optimal creation of a stock portfolio with a multi-target optimization approach to measure value at risk]. Jurnal Gussian, 3(3), 371-380. Retrieved from https://media.neliti.com/media/publications/95899-ID-none.pdf Search in Google Scholar

Hasbrouck, J. (1991). Measuring the information content of stock trades. Journal of Finance, 46(1), 179-207. https://doi.org/10.2307/232869310.2307/2328693 Search in Google Scholar

Hellwig, Z. (1968). Zastosowanie metody taksonomicznej do typologicznego podziału krajów ze względu na poziom ich rozwoju oraz zasoby i strukturę wykwalifikowanych kadr [Application of the taxonomic method to the typological division of countries according to the level of their development and the resources and structure of qualified personnel]. Przegląd Statystyczny, 4, 307-326. Search in Google Scholar

Kim, W. C., Kim, J. H., & Fabozzi, F. J. (2014, August). Deciphering robust portfolios. Journal of Banking and Finance, 45, 1-8. https://doi.org/10.1016/j.jbankfin.2014.04.02110.1016/j.jbankfin.2014.04.021 Search in Google Scholar

Kolm, P. N., Tutuncu, R., Fabozzi, F. J. (2014, April). 60 years of portfolio optimization: Practical challenges and current trend. European Journal of Operational Research, 234, 356-371. https://doi.org/10.1016/j.ejor.2013.10.06010.1016/j.ejor.2013.10.060 Search in Google Scholar

Kourtis, A., Dotsis, G., & Markellos, R. N. (2012). Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrix. Journal of Banking and Finance, 36(9), 2522-2531. https://doi.org/10.1016/j.jbankfin.2012.05.00510.1016/j.jbankfin.2012.05.005 Search in Google Scholar

Kroll, Y., Levy, H., & Markowitz, H. M. (1984). Mean-variance versus direct utility maximization. Journal of Finance, 39(1), 47-61. https://doi.org/10.2307/232766710.2307/2327667 Search in Google Scholar

Lillo, F., Farmer, J. D., & Mantegna, R. N. (2003). Master curve for price-impact function. Nature, 421, 129-130. https://doi.org/10.1038/421129a10.1038/421129a Search in Google Scholar

Mansini, R., Ogryczak, W., & Speranza, M. G. (2014). Twenty years of linear programming-based portfolio optimization. European Journal of Operational Research, 234(2), 518-535. https://doi.org/10.1016/j.ejor.2013.08.03510.1016/j.ejor.2013.08.035 Search in Google Scholar

Markowitz, H. (1952). Portfolio selection. Journal of Finance, 7(1), 77-91. https://doi.org/10.1111/j.1540-6261.1952.tb01525.x10.1111/j.1540-6261.1952.tb01525.x Search in Google Scholar

Masmoudi, M., & Abdelaziz, F. B. (2018). Portfolio selection problem: A review of deterministic and stochastic multiple objective programming models. Annals of Operations Research, 267, 335-352. https://doi.org/10.1007/s10479-017-2466-710.1007/s10479-017-2466-7 Search in Google Scholar

Merton, R. C. (1980, December). On estimating the expected return on the market: An exploratory investigation. Journal of Financial Economics, 8(4), 323-361. https://doi.org/10.1016/0304-405X(80)90007-010.1016/0304-405X(80)90007-0 Search in Google Scholar

Metaxiotis, K., & Liagkouras, K. (2012, October). Multi-objective evolutionary algorithms for portfolio management: A comprehensive literature review. Expert Systems with Applications, 39(14), 11685-11698. https://doi.org/10.1016/j.eswa.2012.04.05310.1016/j.eswa.2012.04.053 Search in Google Scholar

Okhrin, Y., & Schmid, W. (2006). Distributional properties of portfolio weights. Journal of Econometrics, 134(1), 235-256, https://doi.org/10.1016/j.jeconom.2005.06.02210.1016/j.jeconom.2005.06.022 Search in Google Scholar

Pera, K., Buła, R., & Mitrenga D. (2014). Modele inwestycyjne [Investment models]. Warszawa: C.H. Beck. Search in Google Scholar

Ponsich, A., Jaimes, A. L., & Coello Coello, C. A. (2013). A survey on multi-objective evolutionary algorithms for the solution of the portfolio optimization problem and other finance and economics applications. IEEE Transactions on Evolutionary Computation, 17(3), 321-344. https://doi.org/10.1109/TEVC.2012.219680010.1109/TEVC.2012.2196800 Search in Google Scholar

Ross, S. A. (1981). Some stronger measures of risk aversion in the small and the large with applications. Econometrica, 49(3), 621-638. https://doi.org/10.2307/191151510.2307/1911515 Search in Google Scholar

Scherer, B., & Xu, X. (2007). The impact of constraints on value-added. Journal of Portfolio Management, 33(4), 45-54. https://doi.org/10.3905/jpm.2007.69060510.3905/jpm.2007.690605 Search in Google Scholar

Septiano, R., Syafriand, S., & Rosha, M. (2019). Pembentukan Portofolio Optimal Menggunakan Metode Optimasi Multiobjektif pada Saham di Bursa Efek Indonesia [Optimal portfolio building with the application of the Indonesian Stock Exchange Multi-Target Equity Optimization method]. UNP Journal of Mathematics, 2, 10-15. Retrieved from http://ejournal.unp.ac.id/students/index.php/mat/article/view/6298/3206 Search in Google Scholar

Tobin, J. (1958, February). Liquidity preference as behaviour towards risk. The Review of Economic Studies, 25(2), 65-86. https://doi.org/10.2307/229620510.2307/2296205 Search in Google Scholar

Tütüncü, R. H., & Koenig, M. (2004). Robust asset allocation. Annals of Operations Research, 132, 157-187. https://doi.org/10.1023/B:ANOR.0000045281.41041.ed10.1023/B:ANOR.0000045281.41041.ed Search in Google Scholar

Warsaw Stock Exchange. (n.d.). Retrieved from https://www.gpw.pl/spolki Search in Google Scholar

Zhang, Y., Li, X., & Guo, S. (2018). Portfolio selection problems with Markowitz’s mean-variance framework: A review of literature. Fuzzy Optimization and Decision Making, 17, 125-158. https://doi.org/10.1007/s10700-017-9266-z10.1007/s10700-017-9266-z Search in Google Scholar