Customized Portfolio Selection System - Multiobjective Mathematical Programming And Average Allocation Model

• Main Authors: Hsu-Han Chen, 陳詡涵
• Other Authors: Jih-Jeng Huang
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/46928545211254884605

碩士 === 東吳大學 === 資訊管理學系 === 100 === The best portfolio selection for an investor is related to his/her risk-bearing capacity, personal trait, and life style, whereas few early studies provided investors with customized portfolio selection. Our study considered variables such as demographics, AIO and personal traits to calculate the risk-bearing capacity so that we can decide the ratio of asset allocation between risk and non-risk asset allocations. Then, we used analytic hierarchy process (AHP) to determine the weight of the investors’ goals and employed multi-objective programming (MOP) to determine the final result. In addition, we compared the proposed method with the buy-and-hold strategy and show the proposed method is better.