Classifying the minimum-variance surface of multiple-objective portfolio selection for capital asset pricing models
DOI10.1007/S10479-020-03649-XzbMATH Open1490.91191OpenAlexW3033864972MaRDI QIDQ2150776FDOQ2150776
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
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classificationmultiple-objective optimizationparaboloidmultiple-objective portfolio selectioncapital asset pricing models (CAPM)minimum-variance surfacemultiple-objective CAPMzero-covariance portfolio
Multi-objective and goal programming (90C29) Portfolio theory (91G10) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
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- An analytical derivation of the efficient surface in portfolio selection with three criteria
- On the analytical derivation of efficient sets in quad-and-higher criterion portfolio selection
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