Matching Investors with Suitable, Optimal and Investable Portfolios

Bolster, Paul J.; Warrick, Sandy

doi:10.3905/jwm.2008.701851

Cited by 4 publications

(3 citation statements)

References 8 publications

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“…Two hierarchies in the mutual fund selection have been presented. Bolster and Warrick (2008) use the AHP method to create portfolios of mutual funds that are similar to mean-variance efficient portfolios and are both suitable and optimal for a wide range of investors. In the second, the task is to obtain the most suitable mutual fund within each asset class.…”

Section: Literature Review For Ahpmentioning

confidence: 99%

A combined analytic hierarchy process and goal programming approach to international portfolio selection in the presence of investment barriers

Bahloul

Abid

2013

IJMCDM

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The aim of this paper is to develop an integrated multiple criteria decision making approach combining the analytic hierarchy process (AHP) and the goal programming (GP) model to study the impact of a mixture of investment barriers on international portfolio selection, and therefore the home bias puzzle from the viewpoint of G-7 investors over the period 2001-2009. The AHP is used to determine the suitable international equity portfolios with respect to seven barriers to international investment. The GP model, incorporating the market weights of the maximum return, minimal variance, and AHP portfolios is formulated to determine the optimal international equity portfolios. The main results show that the AHP-GP optimal international portfolio weights are different from those predicted by the I-CAPM. Also, except for French and US investors, home bias values determined according to the AHP-GP portfolios are lower than those calculated on the basis of the value-weighted world market portfolio.Keywords: multicriteria decision making; analytic hierarchy process; goal programming; suitable/optimal international equity portfolio; barriers to international investment; home bias.Reference to this paper should be made as follows: Bahloul, S. and Abid, F. (2013) 'A combined analytic hierarchy process and goal programming approach to international portfolio selection in the presence of investment barriers', Int.

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Section: Literature Review For Ahpmentioning

confidence: 99%

A combined analytic hierarchy process and goal programming approach to international portfolio selection in the presence of investment barriers

Bahloul

Abid

2013

IJMCDM

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“…In our view, portfolio selection models can be substantially improved by incorporating investor-preferences. Bolster and Warrick [5] developed a model of suitability for individual investors based on their personal attributes. Other than this, to the best of our knowledge, there is not much research on incorporating suitability considerations in portfolio selection.…”

Section: Introductionmentioning

confidence: 99%

A hybrid approach to asset allocation with simultaneous consideration of suitability and optimality

Gupta

Mehlawat

Saxena

2010

Information Sciences

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“…In literature, we do not come across many studies to examine portfolio selection problem involving trade-off between financial and suitability criteria. Bolster and Warrick [2] developed a model of suitability for individual investors based on their personal attributes. Gupta, Mehlawat and Saxena [13] developed mathematical models for simultaneous consideration of suitability and optimality in asset allocation.…”

Section: Introductionmentioning

confidence: 99%

Behavioral optimization models for multicriteria portfolio selection

Mehlawat¹

2013

YUGOSLAV J OPERATION

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In this paper, behavioral construct of suitability is used to develop a multicriteria decision making framework for portfolio selection. To achieve this purpose, we rely on multiple methodologies. Analytical hierarchy process technique is used to model the suitability considerations with a view to obtaining the suitability performance score in respect of each asset. A fuzzy multiple criteria decision making method is used to obtain the financial quality score of each asset based upon investor's rating on the financial criteria. Two optimization models are developed for optimal asset allocation considering simultaneously financial and suitability criteria. An empirical study is conducted on randomly selected assets from National Stock Exchange, Mumbai, India to demonstrate the effectiveness of the proposed methodology

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Matching Investors with Suitable, Optimal and Investable Portfolios

Cited by 4 publications

References 8 publications

A combined analytic hierarchy process and goal programming approach to international portfolio selection in the presence of investment barriers

A combined analytic hierarchy process and goal programming approach to international portfolio selection in the presence of investment barriers

A hybrid approach to asset allocation with simultaneous consideration of suitability and optimality

Behavioral optimization models for multicriteria portfolio selection

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