A Multi-Dimensional Framework for Portfolio Management

Given an opportunity set of financial securities, an investor faces the problem of selecting one portfolio out of the multiplicity of portfolios that can be formed. This paper presents a multi-dimensiona! framework that can serve as a decision aid in the portfolio selection and management process. The framework yields room for different settings of the portfolio management problem and offers an alternative to both unstructured ad hoc approaches and complex approaches that severely restrict the decision process. The framework offers the investor systematic guidance in the search for a portfolio that suits his tastes and preferences best, while satisfying the restrictions he faces.

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