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

DOI10.1007/S10479-020-03649-XMaRDI QIDQ2150776zbMATH OpenOpenAlexFDO

Authors 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) Portfolio theory (91G10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• scientific article; zbMATH DE number 41105 (Why is no real title available?)
• scientific article; zbMATH DE number 1215253 (Why is no real title available?)
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• Heuristic algorithms for the cardinality constrained efficient frontier
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• On the analytical derivation of efficient sets in quad-and-higher criterion portfolio selection
• Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models
• Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection
• Time series: theory and methods
• Tri-criterion modeling for constructing more-sustainable mutual funds

Cited in

(1)

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

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