Overviewing the transition of Markowitz bi-criterion portfolio selection to tri-criterion portfolio selection

URN to cite this document:: urn:nbn:de:bvb:355-epub-271590
DOI to cite this document:: 10.5283/epub.27159

Steuer, Ralph E. ; Wimmer, Maximilian ; Hirschberger, Markus

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Date of publication of this fulltext: 18 Dec 2012 08:25

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Abstract

Over sixty years ago, Markowitz introduced the mean-variance efficient frontier to finance. While mean-variance is still the predominant model in portfolio selection, it has endured many criticisms. One serious one is that it does not allow for additional criteria. The difficulty is that the efficient frontier becomes a surface. With it now possible to compute such a surface, we provide an ...