Qi, Yue, Steuer, Ralph E. and Wimmer, Maximilian (2017) An Analytical Derivation of the Efficient Surface in Portfolio Selection with Three Criteria. Annals of Operations Research 251 (1), pp. 161-177.
| PDF - Submitted Version Preprint Download (248kB) |
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 ...
Export bibliographical data
| Item type: | Article | ||||
|---|---|---|---|---|---|
| Date: | 1 April 2017 | ||||
| Institutions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre | ||||
| Identification Number: |
| ||||
| Related URLs: |
| ||||
| Keywords: | MUTUAL FUNDS; OPTIMIZATION; MANAGEMENT; OBJECTIVES; FRONTIER; MODEL; Multiple criteria optimization; Tri-criterion portfolio selection; Minimumvariance frontier; e-Constraint method; Efficient surface; Paraboloids | ||||
| 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: | 31825 |
Owner only: item control page
Download Statistics