Classifying the minimum-variance surface of multiple-objective portfolio selection for capital asset pricing models

DOI10.1007/s10479-020-03649-xzbMath1490.91191OpenAlexW3033864972MaRDI QIDQ2150776

Yue Qi

Publication date: 30 June 2022

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

Full work available at URL: https://doi.org/10.1007/s10479-020-03649-x

zbMATH Keywords

classificationmultiple-objective optimizationparaboloidmultiple-objective portfolio selectioncapital asset pricing models (CAPM)minimum-variance surfacemultiple-objective CAPMzero-covariance portfolio

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)

Related Items (1)

An analytic derivation of the efficient frontier in biobjective cash management and its implications for policies

Cites Work

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