The Portfolio selection Problem (PSP) is concerned deciding in what assets to invest and by how much, minimizing a risk measure and imposing a minimum required return. Although the original formulation (by Markowitz) can be solved by Quadratic Programming, including further real world constraints makes the problem computationally difficult.In this work we propose a hybrid approach in which several distance measures are taken intoaccount to assess the distance between portfolios on the Markowitz Pareto frontier and the Index tracking optimal portfolio, in order to provide the user with a tool to discriminateamongst non-dominated portfolios.
|Numero di pagine||11|
|Rivista||ANNALI DELLA FACOLTÀ DI ECONOMIA. UNIVERSITÀ DI PALERMO|
|Stato di pubblicazione||Published - 2013|