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Minimax Regret Using OWA Operator in Robust
Multiobjective Portfolio Optimization
Chong Shad Min
Supervisor: Dr. Binyamin Bin Yusoff
Bachelor of Science (Financial Mathematics)
School of Informatics and Applied Mathematics
Portfolio optimization plays a critical role in determining portfolio strategies for investors.
The first approach in portfolio selection was suggested by Markowitz based on a meanvariance
framework. The traditional approach fails to meet the demand of investors who
have multiple investment objectives. Advances in portfolio management research
highlight the growing momentum of robust portfolio optimization. Robust optimization
has become a widely implemented approach in investment management for incorporating
uncertainty into financial models. This research is conducted and aimed to propose a
robust multiobjective portfolio optimization model based on minimax regret approach
using OWA operator. The key advantage of the OWA operator is the ability to represent
complex scenarios by using the degree of optimism and pessimism of the decision maker.
The applicability of this model is tested in the real case study of 30 blue-chip stocks on
the Bursa Malaysia.
799 | UMT UNDERGRADUATE RESEARCH DAY 2018