scientific article; zbMATH DE number 1462619

MaRDI QIDQ4486936zbMATH OpenFDO

Authors Gert Wanka

Publication date 14 May 2002

zbMATH Keywords

dualityoptimality conditionsportfolio optimization

Mathematics Subject Classification ID

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

Review text

According to the Markowitz theory the investor intends to maximize the expected return and to minimize the risk measured with variance. Because these two objectives are typically in conflict, an adequate and reasonable solution notion is that of efficiency (Pareto-optimality) this leads to the classical and well-known portfolio optimization problem with two objectives. In this paper the author presents a dual multi-objective problem to the Markowitz portfolio optimization problem. For the Markowitz problem the author considers the properly efficient solutions while for the dual problem -- the efficient solutions and derives the so-called weak and strong duality assertions. In particular, a linear scalarization of the Markowitz problem is used to prove these results. The strong duality assertions are used to derive the necessary and sufficient optimality conditions for the portfolio problem.

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Cited in

(7)

• Set-valued duality theory for multiple objective linear programs and application to mathematical finance
• Duality for portfolio optimization with short sales
• On Lagrangian duality in vector optimization: applications to the linear case
• On multiobjective optimization in portfolio management
• Multiple Constraints and Hicksian Complementarity: A Generalization and an Application to Portfolio Choice
• Multi-Portfolio Optimization: A Potential Game Approach
• A Reference Point Approach to Bi-Objective Dynamic Portfolio Optimization

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