Single criterion vs. multi-criteria optimal stopping methods for portfolio management
Ben Abdelaziz F., Saadaoui R., Masmoudi M.
PublisherTaylor and Francis Ltd.
SourcetitleJournal of the Operational Research Society
This paper compares two novel methods applied to Portfolio Management based on the attractive theory of Optimal Stopping Problems. We test the single criterion standard version of the latter theory against the multi-criteria version. The optimal moment to stop and trade (to Buy or Sell), represents the major challenge of our active management strategy. We subject the stock included in the portfolio to the rules derived from the underlying theory. Our aim is to provide a method that helps portfolio managers create wealth by buying and selling securities (trading). Our algorithm proves its performance when applied to real data, and we compare it with the Buy & Hold Strategy. � 2018, � Operational Research Society 2018.