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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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 | ||||
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| 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: |
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| 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 |
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