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

URN to cite this document:: urn:nbn:de:bvb:355-epub-278880

Utz, Sebastian ; Wimmer, Maximilian ; Hirschberger, Markus ; Steuer, Ralph E.

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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 ...