Portfolio selection in the Spanish stock market by interactive multiobjective programming

This study examines new versions of two interactive methods to address multiobjective problems, the aim of which is to enable the decision maker to reach a solution within the range of those considered efficient in a portfolio selection model, in which several objectives are pursued concerning risk and return and given that these are clearly conflicting objectives, the profile of the model proposed is multicriteria. Normally the range of efficient portfolios is fairly extensive thus making the selection of a single one an onerous task. In order to facilitate this process, interactive methods are used aimed at guiding the decision maker towards the optimal solution based on his preferences. Several adaptations were carried out on the original methods in order to facilitate the interactive process, improving the quality of the obtained portfolios, and these were applied to data obtained from the Madrid Stock Market, interaction taking place with two decision makers, one of whom was more aggressive than the other in their selections made.