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

Steuer, Ralph E., Wimmer, Maximilian and Hirschberger, Markus (2013) Overviewing the transition of Markowitz bi-criterion portfolio selection to tri-criterion portfolio selection. Journal of Business Economics 83 (1), pp. 61-85.

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

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Other URL: http://link.springer.com/article/10.1007/s11573-012-0642-4


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 ...

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Item type:Article
Date:19 January 2013
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner)
Identification Number:
ValueType
10.1007/s11573-012-0642-4DOI
Classification:
NotationType
G11Journal of Economics Literature Classification
C61Journal of Economics Literature Classification
Keywords:Efficient frontiers, Nondominated surfaces, Parametric quadratic programming, Portfolio selection, Stability sets, Hyperbolic platelets
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Partially
Item ID:27159
Owner only: item control page

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