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

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Qi, Yue ; Steuer, Ralph E. ; Wimmer, Maximilian
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Date of publication of this fulltext: 08 May 2015 11:41


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 ...


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