Dotted Representations of Mean-Variance Efficient Frontiers and their Computation

DOI10.3138/infor.47.1.15MaRDI QIDQ6160190

Ralph E. Steuer, Yue Qi, Markus Hirschberger

Publication date: 9 May 2023

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

zbMATH Keywords

portfolio selectiontrapezoidal ruleparametric quadratic programminghyperbolic segmentse-constraint methodmean-variance efficient frontiers

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Related Items (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

Cites Work

• Multi-objective stochastic programming for portfolio selection
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• Nonlinear multiobjective optimization
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• An MCDM approach to portfolio optimization.
• An Algorithm for Portfolio Optimization with Transaction Costs
• Frontiers of Stochastically Nondominated Portfolios
• A fuzzy goal programming approach to portfolio selection
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