Go to content
UR Home

Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds

URN to cite this document:
urn:nbn:de:bvb:355-epub-278880
DOI to cite this document:
10.5283/epub.27888
Utz, Sebastian ; Wimmer, Maximilian ; Hirschberger, Markus ; Steuer, Ralph E.
[img]
Preview
PDF - Draft Version
Preprint
(302kB)
Date of publication of this fulltext: 12 Mar 2013 14:17


Abstract

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 ...

plus


Owner only: item control page
  1. Homepage UR

University Library

Publication Server

Contact:

Publishing: oa@ur.de
0941 943 -4239 or -69394

Dissertations: dissertationen@ur.de
0941 943 -3904

Research data: datahub@ur.de
0941 943 -5707

Contact persons