Equity portfolio construction and selection using multiobjective mathematical programming

A multi-objective mixed integer programming model for equity portfolio construction and selection is developed in this study, in order to generate the Pareto optimal portfolios, using a novel version of the well known epsilon-constraint method. Subsequently, an interactive filtering process is also proposed to assist the decision maker in making his/her final choice among the Pareto solutions. The proposed methodology is tested through an application in the Athens Stock Exchange.