URN zum Zitieren dieses Dokuments: urn:nbn:de:bvb:355-epub-278880
Utz, Sebastian, Wimmer, Maximilian, Hirschberger, Markus und Steuer, Ralph E. (2014) Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds. European Journal of Operational Research 234 (2), S. 491-498.
| PDF - Entwurfsversion Preprint Download (302kB) |
Zum Artikel beim Verlag (über 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 ...
Bibliographische Daten exportieren
| Dokumentenart: | Artikel | ||||
|---|---|---|---|---|---|
| Datum: | 16 April 2014 | ||||
| Zusätzliche Informationen (Öffentlich): | An earlier version of the article circulated under the title "Is socially responsible investing just screening? Evidence from mutual funds" | ||||
| Institutionen: | Wirtschaftswissenschaften > Institut für Betriebswirtschaftslehre > Lehrstuhl für Finanzierung (Prof. Dr. Gregor Dorfleitner) | ||||
| Identifikationsnummer: |
| ||||
| Stichwörter / Keywords: | Socially responsible investing, Inverse optimization, Portfolio selection, Multiple criteria optimization, Nondominated surfaces, Multiple criteria decision making | ||||
| Dewey-Dezimal-Klassifikation: | 300 Sozialwissenschaften > 330 Wirtschaft | ||||
| Status: | Veröffentlicht | ||||
| Begutachtet: | Ja, diese Version wurde begutachtet | ||||
| An der Universität Regensburg entstanden: | Zum Teil | ||||
| Eingebracht am: | 12 Mär 2013 14:17 | ||||
| Zuletzt geändert: | 02 Jun 2018 17:42 | ||||
| Dokumenten-ID: | 27888 |
Downloadstatistik