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ArticleBeyond Markowitz with multiple criteria decision aiding

Salvatore Greco2013

Article2013

Beyond Markowitz with multiple criteria decision aiding

Salvatore Greco · Benedetto Matarazzo A · Roman Słowiński

33 citations·0/0 files stored·Journal of Business Economics

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Multi-Criteria Decision Making Risk and Portfolio Optimization Advanced Multi-Objective Optimization Algorithms

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1992Advances in prospect theory: Cumulative representation of uncertainty 1999Coherent Measures of Risk 1965The Behavior of Stock-Market Prices 1994Decisions with Multiple Objectives: Preferences and Value Tradeoffs.1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1976The arbitrage theory of capital asset pricing 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]

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Year2013

Typearticle

Published2013-02-01

VenueJournal of Business Economics

ISSN-L0044-2372

Languageen

Citations33

Files0 public / 0

ShelfMulti-Criteria Decision Making

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doi10.1007/s11573-012-0644-2

openalex_workW2091995207

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