Dotted Representations of Mean-Variance Efficient Frontiers and their Computation

DOI10.3138/INFOR.47.1.15MaRDI QIDQ6160190zbMATH OpenFDO

Authors Yue Qi, Markus Hirschberger, Ralph E. Steuer

Publication date 9 May 2023

Published in INFOR: Information Systems and Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3138/INFOR.47.1.15

zbMATH Keywords

e-constraint methodhyperbolic segmentsmean-variance efficient frontiersparametric quadratic programmingportfolio selectiontrapezoidal rule

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

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Cites work

• A framework for managing a portfolio of socially responsible investments.
• A fuzzy goal programming approach to portfolio selection
• An algorithm for portfolio optimization with transaction costs
• An MCDM approach to portfolio optimization.
• Efficient implementation of an active set algorithm for large-scale portfolio selection
• Frontiers of Stochastically Nondominated Portfolios
• scientific article; zbMATH DE number 51121 (Why is no real title available?)
• scientific article; zbMATH DE number 2061975 (Why is no real title available?)
• Multi-objective stochastic programming for portfolio selection
• Nonlinear multiobjective optimization

Cited in

(2)

• On the criterion vectors of lines of portfolio selection with multiple quadratic and multiple linear objectives
• Value of information in portfolio selection, with a Taiwan stock market application illustration

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