An analytical derivation of properly efficient sets in multi-objective portfolio selection

DOI10.1007/S10479-024-05848-2MaRDI QIDQ7002498zbMATH OpenFDO

Authors Yue Qi, Ralph E. Steuer

Publication date 3 April 2025

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10479-024-05848-2

zbMATH Keywords

efficient setmulti-objective optimizationmulti-objective portfolio selectionmultiple quadratic objectives

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Portfolio theory (91G10)

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Cited in

(2)

• Discovering zero-covariance-portfolio curves for capital asset pricing models of multiple-objective portfolio selection
• Post-optimizing general considerations for portfolio selection by efficient sets' piecewise-linear-segment structure via parametric quadratic programming

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