Bounds on efficient outcomes for large-scale cardinality-constrained Markowitz problems
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DOI: 10.1007/s10898-021-01022-1
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- I. Kaliszewski & J. Miroforidis, 2022. "Probing the Pareto front of a large-scale multiobjective problem with a MIP solver," Operational Research, Springer, vol. 22(5), pages 5617-5673, November.
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Keywords
Bi-objective optimization; Multiple criteria decision making; Cardinality-constrained Markowitz portfolio investment problem; Two-sided efficient frontier approximations; Chebyshev scalarization;All these keywords.
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