Many portfolio selection problems require a decision maker's preference structure. In this study, a procedure for elicitation of decision maker's preference structure, especially mean-variance utility function, is developed. It is accomplished under the assumptions that, first, money cannot be borrowed and, second, the return may not be utility independent to the risk. The technique of experimental design is utilized to directly assess a quadratic utility function, and it reduces the decision maker(DM)'s burden and time consumptions.
This porcedure provides a decision maker with practical interview process that is set up interactively for personal and micro-computer. After obtaining the decision maker's preference structure, Nonlinear Goal Programming is implemented for solving portfolio selection problems. This study suggests a way of practical portfolio selection in real world.
대부분의 투자결정 문제에 있어서 효용함수를 이용한 투자분석이 많이 쓰여지고 있다.
그러나 효용함수를 도출하여 투자분석에 사용할 수 있는 일관된 방법이 없어서 실제로 이를 응용하는데 많은 어려움이 있다.
본 논문은 효용함수를 도출하는데 있어서 가장 편리한 방법이라 생각되어지는 것을 기술하였으며 또한 목적계획법을 사용하여 효과적인 투자분석을 행할 수 있는 방법을 제시하였다.
