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Computing the nondominated surface in tri-criterion portfolio selection

Hirschberger, Markus ; Steuer, Ralph E. ; Utz, Sebastian ; Wimmer, Maximilian ; Qi, Yue



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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