An Analytical Derivation of the Efficient Surface in Portfolio Selection with Three Criteria

URN to cite this document:: urn:nbn:de:bvb:355-epub-318257
DOI to cite this document:: 10.5283/epub.31825

Qi, Yue ; Steuer, Ralph E. ; Wimmer, Maximilian

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Date of publication of this fulltext: 08 May 2015 11:41

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Abstract

In standard mean-variance bi-criterion portfolio selection, the efficient set is a frontier. While it is not yet standard for there to be additional criteria in portfolio selection, there has been a growing amount of discussion in the literature on the topic. However, should there be even one additional criterion, the efficient frontier becomes an efficient surface. Striving to parallel Merton's ...