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- URN zum Zitieren dieses Dokuments:
- urn:nbn:de:bvb:355-epub-278880
- DOI zum Zitieren dieses Dokuments:
- 10.5283/epub.27888
Alternative Links zum Volltext:DOI
Zusammenfassung
We present a framework for inverse optimization in a Markowitz portfolio model that is extended to include a third criterion. The third criterion causes the traditional nondominated frontier to become a surface. Until recently, it had not been possible to compute such a surface. But by using a new method that is able to generate the nondominated surfaces of tri-criterion Portfolio selection ...
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