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Computing the nondominated surface in tri-criterion portfolio selection

Hirschberger, Markus and Steuer, Ralph E. and Utz, Sebastian and Wimmer, Maximilian and Qi, Yue (2013) Computing the nondominated surface in tri-criterion portfolio selection. Operations Research 61 (1), pp. 169-183.

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Other URL: http://or.journal.informs.org/content/early/2013/02/05/opre.1120.1140.abstract


Abstract

Computing the nondominated set of a multiple objective mathematical program has long been a topic in multiple criteria decision making. In this paper, motivated by the desire to extend Markowitz portfolio selection to an additional linear criterion (dividends, liquidity, sustainability, etc.), we demonstrate an exact method for computing the nondominated set of a tri-criterion program that is all ...

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Item Type:Article
Date:5 February 2013
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner)
Identification Number:
ValueType
10.1287/opre.1120.1140DOI
Related URLs:
URLURL Type
http://or.journal.informs.org/Publisher
Keywords:Multiple criteria decision making, multi-criteria optimization, nondominated surfaces, portfolio selection, multi-parametric quadratic programming
Subjects:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Partially
Owner: Dr. Maximilian Wimmer
Deposited On:19 Oct 2012 06:07
Last Modified:15 Mar 2013 16:36
Item ID:26526
Owner Only: item control page
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