An analytical derivation of properly efficient sets in multi-objective portfolio selection

Yue Qi () and Ralph E. Steuer ()
Additional contact information
Yue Qi: Nankai University
Ralph E. Steuer: University of Georgia

Annals of Operations Research, 2025, vol. 346, issue 2, No 31, 1573-1595

Abstract: Abstract Computing efficient sets has long been a topic in multiple-objective optimization and research has made substantial progress. However, there are still limitations in the multiple-objective portfolio selection and optimization areas. Firstly, researchers typically focus on models containing only one quadratic objective. Secondly, few researchers pursue multiple quadratic objectives, but their algorithms could be relatively elusive and it could be a pity that they do not explicitly demonstrate the efficient sets’ structure. Lastly, researchers mostly limit their scope to three objectives. Within this context, this paper makes theoretical contributions to the literature. Operating with multiple quadratic objectives, we analytically derive closed-form formulae for the computation of the properly efficient and weakly efficient sets of problems and demonstrate the efficient sets’ structure in the form of a sequence of pyramids in decision space. Although we are restricted to equality-constraint-only models, our results have implications for general-constraint models. In addition, our methods can be extended to general k-quadratic objective models.

Keywords: Multi-objective portfolio selection; Multiple quadratic objectives; Properly efficient set; Weakly efficient set (search for similar items in EconPapers)
JEL-codes: C61 G11 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10479-024-05848-2 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:annopr:v:346:y:2025:i:2:d:10.1007_s10479-024-05848-2

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/10479

DOI: 10.1007/s10479-024-05848-2

Access Statistics for this article

Annals of Operations Research is currently edited by Endre Boros

More articles in Annals of Operations Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().