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)

Recommendations

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• Set-valued duality theory for multiple objective linear programs and application to mathematical finance
• MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET
• Markowitz investment Boolean problem in case of uncertainty, multicriteria and risk
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Cited in

(7)

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

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