MCDM'17 - paper no. 4

 

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TRADE-OFF GUIDED SEARCH FOR APPROXIMATE PARETO OPTIMAL PORTFOLIOS

Przemysław Juszczuk, Ignacy Kaliszewski, Janusz Miroforidis

Abstract:

In this paper, we attempt to represent the Pareto Front in the Markowitz mean-variance model by two-sided discrete approximations. We discuss the possibility of using such approximations for portfolio selection. The potential of the approach is illustrated by the results of preliminary numerical experiments.

Keywords:

portfolio optimization, Pareto front approximation, Pareto front navigation

Reference index:

Przemysław Juszczuk, Ignacy Kaliszewski, Janusz Miroforidis, (2017), TRADE-OFF GUIDED SEARCH FOR APPROXIMATE PARETO OPTIMAL PORTFOLIOS, Multiple Criteria Decision Making (12), pp. 49-59

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Scopus citations in 1 paper(s):
  1. Jayasekara, P. L. W., Adelgren, N., & Wiecek, M. M. (2019). On convex multiobjective programs with application to portfolio optimization. Journal of Multi-Criteria Decision Analysis, doi:10.1002/mcda.1690

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