An iterative method for solving a bi-objective constrained portfolio optimization problem

DOI10.1007/S10589-018-0052-9MaRDI QIDQ2419517zbMATH OpenOpenAlexWikidataFDO

Authors Madani Bezoui, Mustapha Moulai, Ahcène Bounceur, Reinhardt Euler

Publication date 13 June 2019

Published in Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10589-018-0052-9

zbMATH Keywords

bi-objective programmingcardinality and quantity constraintscardinality portfolio selectionmixed integer programmingPascoletti-Serafini methodsteepest descent method

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Mixed integer programming (90C11) Multi-objective and goal programming (90C29) Applications of mathematical programming (90C90) Portfolio theory (91G10) Financial applications of other theories (91G80)

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Cites work

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Cited in

(2)

• A Reference Point Approach to Bi-Objective Dynamic Portfolio Optimization
• Adaptive generalized conditional gradient method for multiobjective optimization

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• OR-Library

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