On multiobjective optimization in portfolio management
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摘要
Several multiobjective optimization methods (MOB) are discussed. Two methods are modified and applied to portfolio management problem. A one parameter relation is derived for efficient portfolios. The second method gives “several” efficient portfolios.
论文关键词：Multiobjective optimization,Keeny–Raiffa and compromise methods,Portfolio management
论文评审过程：Available online 30 October 2004.
论文官网地址：https://doi.org/10.1016/j.amc.2004.06.115
