An analytical derivation of the efficient surface in portfolio selection with three criteria
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DOI: 10.1007/s10479-015-1900-y
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"Minimum Rényi entropy portfolios,"
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- Nathan Lassance & Frédéric Vrins, 2019. "Minimum Rényi entropy portfolios," LIDAM Reprints CORE 3062, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Lassance, Nathan & Vrins, Frédéric, 2019. "Minimum Rényi entropy portfolios," LIDAM Reprints LFIN 2019009, Université catholique de Louvain, Louvain Finance (LFIN).
- LASSANCE Nathan, & VRINS Frédéric,, 2019. "Minimum Rényi entropy portfolios," LIDAM Discussion Papers CORE 2019001, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Lassance, Nathan & Vrins, Frédéric, 2019. "Minimum Rényi entropy portfolios," LIDAM Discussion Papers LFIN 2019003, Université catholique de Louvain, Louvain Finance (LFIN).
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- Frédy Valé Manuel Pokou & Jules Sadefo Kamdem & François Benhmad, 2023. "Empirical Performance of an ESG Assets Portfolio from US Market," Post-Print hal-04312348, HAL.
- Masoud Rahiminezhad Galankashi & Farimah Mokhatab Rafiei & Maryam Ghezelbash, 2020. "Portfolio selection: a fuzzy-ANP approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-34, December.
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- A. Garcia-Bernabeu & J. V. Salcedo & A. Hilario & D. Pla-Santamaria & Juan M. Herrero, 2019. "Computing the Mean-Variance-Sustainability Nondominated Surface by ev-MOGA," Complexity, Hindawi, vol. 2019, pages 1-12, December.
- Yue Qi, 2022. "Classifying the minimum-variance surface of multiple-objective portfolio selection for capital asset pricing models," Annals of Operations Research, Springer, vol. 311(2), pages 1203-1227, April.
- Qi, Yue & Liao, Kezhi & Liu, Tongyang & Zhang, Yu, 2022. "Originating multiple-objective portfolio selection by counter-COVID measures and analytically instigating robust optimization by mean-parameterized nondominated paths," Operations Research Perspectives, Elsevier, vol. 9(C).
- Yue Qi & Xiaolin Li, 2020. "On Imposing ESG Constraints of Portfolio Selection for Sustainable Investment and Comparing the Efficient Frontiers in the Weight Space," SAGE Open, , vol. 10(4), pages 21582440209, December.
- Kerstin Dächert & Ria Grindel & Elisabeth Leoff & Jonas Mahnkopp & Florian Schirra & Jörg Wenzel, 2022. "Multicriteria asset allocation in practice," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 44(2), pages 349-373, June.
- S., Glogger & S., Heiden & D., Schneller, 2019. "Bearing the bear: Sentiment-based disagreement in multi-criteria portfolio optimization," Finance Research Letters, Elsevier, vol. 31(C), pages 47-53.
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- Salo, Ahti & Doumpos, Michalis & Liesiö, Juuso & Zopounidis, Constantin, 2024. "Fifty years of portfolio optimization," European Journal of Operational Research, Elsevier, vol. 318(1), pages 1-18.
- Yue Qi & Ralph E. Steuer, 2020. "On the analytical derivation of efficient sets in quad-and-higher criterion portfolio selection," Annals of Operations Research, Springer, vol. 293(2), pages 521-538, October.
- Francisco Salas-Molina & David Pla-Santamaria & Juan A. Rodriguez-Aguilar, 2023. "An analytic derivation of the efficient frontier in biobjective cash management and its implications for policies," Annals of Operations Research, Springer, vol. 328(2), pages 1523-1536, September.
- Yue Qi & Yue Wang & Jianing Huang & Yushu Zhang, 2024. "Analytical Shortcuts to Multiple-Objective Portfolio Optimization: Investigating the Non-Negativeness of Portfolio Weight Vectors of Equality-Constraint-Only Models and Implications for Capital Asset ," Mathematics, MDPI, vol. 12(24), pages 1-19, December.
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Keywords
Multiple criteria optimization; Tri-criterion portfolio selection; Minimum-variance frontier; e-Constraint method; Efficient surface; Paraboloids;All these keywords.
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