On the analytical derivation of efficient sets in quad-and-higher criterion portfolio selection
| Autor: | Yue Qi, Ralph E. Steuer |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
050210 logistics & transportation
Class (set theory) Mathematical optimization 021103 operations research 05 social sciences 0211 other engineering and technologies Dividend yield General Decision Sciences 02 engineering and technology Variance (accounting) Management Science and Operations Research Market liquidity Set (abstract data type) 0502 economics and business Theory of computation Portfolio Selection (genetic algorithm) Mathematics |
| Zdroj: | Annals of Operations Research. 293:521-538 |
| ISSN: | 1572-9338 0254-5330 |
| DOI: | 10.1007/s10479-018-3101-y |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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