On the criterion vectors of lines of portfolio selection with multiple quadratic and multiple linear objectives

Yue Qi ()
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Yue Qi: Nankai University

Central European Journal of Operations Research, 2017, vol. 25, issue 1, No 8, 145-158

Abstract: Abstract As the research for portfolio selection evolves, traditional models and models with one quadratic objective and multiple linear objectives are being solved. In this paper, I propose models with multiple quadratic and multiple linear objectives. Due to the difficulty involved, I study the new models by lines in decision space, analyze the criterion vectors of the lines by projection, and approximate the nondominated sets by the criterion vectors. As an illustration, I extend Merton’s portfolio selection model, propose algorithms to approximate the nondominated sets by the criterion vectors of portfolios with cardinality 3 and then K, and demonstrate the number of the criterion vectors.

Keywords: Multiple-objective optimization; Portfolio selection; Multiple-objective portfolio selection; Quadratic-linear curve (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1007/s10100-015-0431-6

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