On the criterion vectors of lines of portfolio selection with multiple quadratic and multiple linear objectives
暂无分享,去创建一个
[1] Yue Qi,et al. Computing the Nondominated Surface in Tri-Criterion Portfolio Selection , 2013, Oper. Res..
[2] Ralph E. Steuer,et al. Overviewing the transition of Markowitz bi-criterion portfolio selection to tri-criterion portfolio selection , 2013 .
[3] Jürgen Branke,et al. Efficient implementation of an active set algorithm for large-scale portfolio selection , 2008, Comput. Oper. Res..
[4] H. Markowitz. The optimization of a quadratic function subject to linear constraints , 1956 .
[5] G. Thomas. Calculus and Analytic Geometry , 1953 .
[6] M. Best. An Algorithm for the Solution of the Parametric Quadratic Programming Problem , 1996 .
[7] A. Stuart,et al. Portfolio Selection: Efficient Diversification of Investments , 1959 .
[8] Yue Qi,et al. Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming , 2010, Eur. J. Oper. Res..
[9] Harry M. Markowitz,et al. Foundations of Portfolio Theory , 1991 .
[10] George Chow,et al. Portfolio Selection Based on Return, Risk, and Relative Performance , 1995 .
[11] M Harry,et al. MARKOWITZ, . Foundations of Portfolio Theory, Journal of Finance, , . , 1991 .
[12] Yue Qi,et al. Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection , 2007, Ann. Oper. Res..
[13] Yue Qi,et al. Dotted Representations of Mean-Variance Efficient Frontiers and their Computation , 2009, INFOR Inf. Syst. Oper. Res..
[14] Jaap Spronk,et al. Financial modelling: Where to go? With an illustration for portfolio management , 1997 .
[15] Daniel Niedermayer,et al. Chapter 12 Applying Markowitz's Critical Line Algorithm , 2010 .
[16] Gregor Dorfleitner,et al. Theory of social returns in portfolio choice with application to microfinance , 2012 .
[17] Stefan Schäffler,et al. Applied Mathematics and Parallel Computing: Festschrift for Klaus Ritter , 2012 .
[18] Pekka J. Korhonen,et al. On computing objective function values in multiple objective quadratic-linear programming , 1998, Eur. J. Oper. Res..
[19] Constantin Zopounidis,et al. Multicriteria Portfolio Management , 2012 .
[20] Jiuping Xu,et al. A class of stochastic optimization problems with one quadratic & several linear objective functions and extended portfolio selection model , 2002 .
[21] Chi-Fu Huang,et al. Foundations for financial economics , 1988 .
[22] R. S. Laundy,et al. Multiple Criteria Optimisation: Theory, Computation and Application , 1989 .
[23] Kathrin Klamroth,et al. An MCDM approach to portfolio optimization , 2004, Eur. J. Oper. Res..
[24] P. Korhonen,et al. A reference direction approach to multiple objective quadratic-linear programming , 1997 .
[25] Harry M. Markowitz,et al. INVITED EDITORIAL COMMENT , 2013, The Journal of Portfolio Management.
[26] R. C. Merton,et al. An Analytic Derivation of the Efficient Portfolio Frontier , 1972, Journal of Financial and Quantitative Analysis.
[27] C. A. Bana e. Costa,et al. Multicriteria approaches for portfolio selection: an overview , 2001 .
[28] Richard A. Davis,et al. Time Series: Theory and Methods , 2013 .