Dotted Representations of Mean-Variance Efficient Frontiers and their Computation

DOI10.3138/INFOR.47.1.15MaRDI QIDQ6160190FDOQ6160190

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)

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• scientific article; zbMATH DE number 2135671

zbMATH Keywords

portfolio selectionparametric quadratic programmingtrapezoidal rulehyperbolic segmentse-constraint methodmean-variance efficient frontiers

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Cites Work

• Title not available (Why is that?)
• Nonlinear multiobjective optimization
• Multi-objective stochastic programming for portfolio selection
• A framework for managing a portfolio of socially responsible investments.
• An MCDM approach to portfolio optimization.
• Title not available (Why is that?)
• A fuzzy goal programming approach to portfolio selection
• Frontiers of Stochastically Nondominated Portfolios
• An algorithm for portfolio optimization with transaction costs
• Efficient implementation of an active set algorithm for large-scale portfolio selection

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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