On the computation of the efficient frontier of the portfolio selection problem

DOI10.1155/2012/105616zbMath1251.91069OpenAlexW2006553320WikidataQ57512629 ScholiaQ57512629MaRDI QIDQ1760553

Vicente Liern, Carlos Ivorra, Clara Calvo

Publication date: 15 November 2012

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2012/105616

zbMATH Keywords

efficient frontierportfolio selection problem\texttt{Mathematica}\(\varepsilon\)-constraint method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

Related Items (6)

Fuzzy portfolio selection including cardinality constraints and integer conditions ⋮ Fuzzy portfolio selection with non-financial goals: exploring the efficient frontier ⋮ Interactive Socially Responsible Portfolio Selection: An Application to the Spanish Stock Market ⋮ Extracting from the relaxed for large-scale semi-continuous variable nondominated frontiers ⋮ Modeling and Assessment of Financial Investments by Portfolio Optimization on Stock Exchange ⋮ Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment

Uses Software

• Mathematica

Cites Work

• A framework for managing a portfolio of socially responsible investments.
• Exact and heuristic procedures for solving the fuzzy portfolio selection problem
• Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection
• Sensitivity Analysis for Mean-Variance Portfolio Problems
• Robust Portfolio Selection Problems
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