Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection

DOI10.1007/s10479-006-0137-1zbMath1132.91480OpenAlexW2123851407WikidataQ125940197 ScholiaQ125940197MaRDI QIDQ2480250

Markus Hirschberger, Ralph E. Steuer, Yue Qi

Publication date: 31 March 2008

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

Full work available at URL: https://doi.org/10.1007/s10479-006-0137-1

zbMATH Keywords

nondominated surfacesmarket portfoliomultiple criteria portfolio selectionmulti-attribute portfolio selectionnondominated frontier sensitivitystochastic objectivessuitable-portfolio investors

Mathematics Subject Classification ID

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

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Uses Software

• Matlab
• Optimization Toolbox

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