Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

Equipment

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Beyond the Markowitz portfolio theory - human preference-driven decision support for the Pareto front navigation in large-scale portfolio selection problems

2017/25/B/HS4/01244

Keywords:

Markowitz portfolio theory multiobjective optimization decision support large-scale computing

Descriptors:

  • HS4_6: Financial markets, international finance, public finance
  • HS4_8: Behavioral economics, consumption and consumer behavior, marketing

Panel:

HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies

Host institution :

Instytut Badań Systemowych Polskiej Akademii Nauk

woj. mazowieckie

Other projects carried out by the institution 

Principal investigator (from the host institution):

prof. Ignacy Kaliszewski vel Kieliszewski 

Number of co-investigators in the project: 5

Call: OPUS 13 - announced on 2017-03-15

Amount awarded: 328 625 PLN

Project start date (Y-m-d): 2018-01-19

Project end date (Y-m-d): 2022-01-18

Project duration:: 48 months (the same as in the proposal)

Project status: Project settled

Project description

Download the project description in a pdf file

Note - project descriptions were prepared by the authors of the applications themselves and placed in the system in an unchanged form.

Equipment purchased [PL]

  1. Komputery typu laptop (16 000 PLN)

Information in the final report

  • Publication in academic press/journals (4)
  1. A condition for asset redundancy in the mean-variance model of portfolio investment
    Authors:
    Przemysław Juszczuk, Ignacy Kaliszewski, Janusz Miroforidis, Dmitry Podkopaev
    Academic press:
    Control and Cybernetics (rok: 2020, tom: 49 (2), strony: 179-191), Wydawca: Instytut Badań Systemowych Polskiej Akademii Nauk
    Status:
    Published
    DOI:
    brak - link to the publication
  2. Mean–variance portfolio selection problem: asset reduction via nondominated sorting
    Authors:
    Przemysław Juszczuk, Ignacy Kaliszewski, Janusz Miroforidis, Dmitry Podkopaev
    Academic press:
    Quarterly Review of Economics and Finance (rok: 2022, tom: 86, strony: 263-272), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.qref.2022.07.007 - link to the publication
  3. An interactive compromise programming for portfolio investment problem
    Authors:
    Olga Karelkina
    Academic press:
    Control and Cybernetics (rok: 2020, tom: 49, strony: 193-210), Wydawca: Instytut Badań Systemowych Polskiej Akademii NAuk
    Status:
    Published
    DOI:
    brak - link to the publication
  4. Expected mean return – standard deviation efficient frontier approximation with low-cardinality portfolios in the presence of the risk-free asset
    Authors:
    Przemysław Juszczuk, Ignacy Kaliszewski, Janusz Miroforidis, Dmitry Podkopaev
    Academic press:
    International Transactions in Operational Research (rok: 2022, tom: -, strony: -), Wydawca: John Wiley & Sons, Inc.
    Status:
    Published
    DOI:
    10.1111/itor.13121 - link to the publication

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