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

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.

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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 ...

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Item type:Article
Date:1 April 2017
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre
Identification Number:
ValueType
10.1007/s10479-015-1900-yDOI
Related URLs:
URLURL Type
http://link.springer.com/article/10.1007%2Fs10479-015-1900-yPublisher
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

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