Multiobjective Programming and Multiattribute Utility Functions in Portfolio Optimization

DOI10.3138/infor.47.1.31OpenAlexW2137678767MaRDI QIDQ6160193

Refail Kasimbeyli, Ozden Ustun, Unnamed Author, Matthias Ehrgott

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.47.1.31

zbMATH Keywords

multiobjective programmingportfolio optimizationmultiattribute utility functionUTADIS

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Related Items (11)

A conic scalarization method in multi-objective optimization ⋮ Conic scalarization approach to solve multi-choice multi-objective transportation problem with interval goal ⋮ Conic Scalarization Method in Multiobjective Optimization and Relations with Other Scalarization Methods ⋮ The efficacy of utility functions for multicriteria hospital case‐mix planning ⋮ Solving Multiobjective Mixed Integer Convex Optimization Problems ⋮ A coradiant based scalarization to characterize approximate solutions of vector optimization problems with variable ordering structures ⋮ A branch-and-bound based heuristic algorithm for convex multi-objective MINLPs ⋮ Combined forecasts in portfolio optimization: a generalized approach ⋮ Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming ⋮ Comparison of some scalarization methods in multiobjective optimization ⋮ Existence and characterization theorems in nonconvex vector optimization

Cites Work

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