Interactive Multi-Factor Portfolio Model

摘要

The portfolio problem is considered as a problem with multiple goals. These goals may incorporate both preferences and perceptions of the decision-maker (investor, portfolio manager). In addition to goals as the maximization of expected return and the maximization of current income, the problem formulation includes the minimization of a series of perceived risks. These perceived risks are based on the portfolio's sensitivity for exogenous forces which are considered important by the decision-maker. This is related to the multi-factor approach to security returns. Depending on a decision-maker's insights and preferences, the relative weights on each of these goals may vary. In the paper IMGP, Interactive Multiple Goal Programming, is used as a tool to construct a portfolio which best meets a given decision-maker's preferences.