A Reference Point Approach to Bi-Objective Dynamic Portfolio Optimization

Abstract. The portfolio selection problem presented in this paper is formulated as a bi-objective mixed integer program. The portfolio selection problem considered is based on a dynamic model of investment, in which the investor buys and sells securities in successive investment periods. The problem objective is to dynamically allocate the wealth on differ-ent securities to optimize by reference point method the portfolio expected return and the probability that the return is not less than a required level. In computational experiments the dataset of daily quotations from the Warsaw Stock Exchange were used