An analytical derivation of the efficient surface in portfolio selection with three criteria

DOI10.1007/s10479-015-1900-yzbMath1370.90252OpenAlexW565903286MaRDI QIDQ2404339

Yue Qi, Ralph E. Steuer, Maximilian Wimmer

Publication date: 18 September 2017

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

Full work available at URL: https://epub.uni-regensburg.de/31825/1/preprint.pdf

zbMATH Keywords

multiple criteria optimizationparaboloids\(e\)-constraint methodefficient surfaceminimum-variance frontiertri-criterion portfolio selection

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Portfolio theory (91G10)

Related Items (13)

Portfolio optimization under partial uncertainty and incomplete information: a probability multimeasure-based approach ⋮ A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem ⋮ On outperforming social-screening-indexing by multiple-objective portfolio selection ⋮ Multiobjective portfolio optimization: bridging mathematical theory with asset management practice ⋮ A trade-off multiobjective dynamic programming procedure and its application to project portfolio selection ⋮ Classifying the minimum-variance surface of multiple-objective portfolio selection for capital asset pricing models ⋮ Portfolio optimization under a minimax rule revisited ⋮ Geometric compromise programming: application in portfolio selection ⋮ An analytic derivation of the efficient frontier in biobjective cash management and its implications for policies ⋮ On the analytical derivation of efficient sets in quad-and-higher criterion portfolio selection ⋮ On analyzing and detecting multiple optima of portfolio optimization ⋮ Optimizing 3-objective portfolio selection with equality constraints and analyzing the effect of varying constraints on the efficient sets ⋮ Minimum Rényi entropy portfolios

Uses Software

• PGFPlots

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