A multiple criteria decision method approach to portfolio optimization

We propose a model for portfolio optimization extending the Markowitz mean–variance model. Based on cooperation with Standard and Poor's we use five specific objectives related to risk and return and allow consideration of individual preferences through the construction of decision-maker specific utility functions and an additive global utility function. Numerical results using customized local search, simulated annealing, tabu search and genetic algorithm heuristics show that problems of practically relevant size can be solved quickly.