No label defined (Q4486936)

According to the Markowitz theory the investor intends to maximize the expected return and to minimize the risk measured with variance. Because these two objectives are typically in conflict, an adequate and reasonable solution notion is that of efficiency (Pareto-optimality) this leads to the classical and well-known portfolio optimization problem with two objectives. In this paper the author presents a dual multi-objective problem to the Markowitz portfolio optimization problem. For the Markowitz problem the author considers the properly efficient solutions while for the dual problem -- the efficient solutions and derives the so-called weak and strong duality assertions. In particular, a linear scalarization of the Markowitz problem is used to prove these results. The strong duality assertions are used to derive the necessary and sufficient optimality conditions for the portfolio problem.