Multi-criteria optimal stopping methods applied to the portfolio optimisation problem

Practitioners and academicians have paid close concern to modelling a reliable state of stock portfolios in a way that meets the traders' criteria. This paper focuses on solving the multi-criteria portfolio optimisation problem relying on two different models derived from the theory of optimal stopping problems. For each model, the decision making rule to take part and manage any conflict arising from the multi-criteria aspect is the core of the underlying strategies. An interactive method against (Gnedin in Autom Remote Control 42(7):981-986, 1981) solution based algorithms is applied. When applied to real data, the performance of our proposed portfolio strategies against the buy-and-hold strategy depends on the investment horizon. Interactive approach seems to perform in the short term run whereas (Gnedin 1981) solution based strategy is a long term approach.