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A hybrid approach to asset allocation with simultaneous consideration of suitability and optimality |
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| Authors: | Pankaj Gupta Mukesh Kumar Mehlawat |
| Affiliation: | a Department of Operational Research, University of Delhi, Delhi, India b Institute of Life Long Learning, University of Delhi, Delhi, India |
| Abstract: | In this paper, we develop mathematical models for simultaneous consideration of suitability and optimality in asset allocation. We use a hybrid approach that combines behavior survey, cluster analysis, analytical hierarchy process and fuzzy mathematical programming. |
| Keywords: | Fuzzy mathematical programming Portfolio selection Risk Analytical hierarchy process Cluster analysis Multi-criteria decision making |
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