| Article ID: | iaor19972434 |
| Country: | United Kingdom |
| Volume: | 47 |
| Issue: | 11 |
| Start Page Number: | 1377 |
| End Page Number: | 1386 |
| Publication Date: | Nov 1996 |
| Journal: | Journal of the Operational Research Society |
| Authors: | Romero Carlos, Ballestero Enrique |
| Keywords: | portfolio analysis |
A surrogate for an investor’s bi-criteria utility function (profitability, safety) is proposed as an alternative methodology for selecting portfolios. The optimum is approximated by resorting to a recent utility theorem expounded in multi-criteria analysis. This method is developed for an ‘average’ investor and could be used as a routine procedure by investment consultants with incomplete information of the client’s utility functions.