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

Utz, Sebastian, Wimmer, Maximilian, Hirschberger, Markus and Steuer, Ralph E. (2014) Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds. European Journal of Operational Research 234 (2), pp. 491-498.

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Date of publication of this fulltext: 12 Mar 2013 14:17

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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 ...

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Item type:Article
Date:16 April 2014
Additional Information (public):An earlier version of the article circulated under the title "Is socially responsible investing just screening? Evidence from mutual funds"
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner)
Identification Number:
ValueType
10.1016/j.ejor.2013.07.024DOI
Keywords:Socially responsible investing, Inverse optimization, Portfolio selection, Multiple criteria optimization, Nondominated surfaces, Multiple criteria decision making
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:27888
Owner only: item control page

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