On the analytical derivation of efficient sets in quad-and-higher criterion portfolio selection
Yue Qi and
Ralph E. Steuer ()
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Yue Qi: Business School Nankai University
Ralph E. Steuer: University of Georgia
Annals of Operations Research, 2020, vol. 293, issue 2, No 5, 538 pages
Abstract This paper provides results in the area of the analytical derivation of the efficient set of a mean-variance portfolio selection problem that has more than three criteria. By “analytical” we mean derived by formula as opposed to being computed by algorithm. By “more than three criteria”, we mean that beyond the mean and variance of regular portfolio selection, the problems addressed have two or more additional linear objectives. The additional objectives might include sustainability, dividend yield, liquidity, and R&D as extra objectives like these are being seen with greater frequency. While not all multiple criteria portfolio selection problems lend themselves to an analytical derivation, a certain class does and the problems in this class are covered by the mathematics of this paper.
Keywords: Multiple criteria portfolio selection; Analytical derivation; Minimum-variance surface; Nondominated set; Efficient set; Paraboloid (search for similar items in EconPapers)
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