- Tytuł:
- Multiobjective duality for the Markowitz portfolio optimization problem
- Autorzy:
- Wanka, G.
- Powiązania:
- https://bibliotekanauki.pl/articles/206011.pdf
- Data publikacji:
- 1999
- Wydawca:
- Polska Akademia Nauk. Instytut Badań Systemowych PAN
- Tematy:
-
dualność
optymalizacja
duality
expected return
investment
Markowitz model
optimality conditions
portfolio optimization - Opis:
- The classical Markowitz approach to portfolio selection leads to a biobjective optimization problem where the objectives are the expected return and the variance of a portfolio. In this paper a biobjective dual optimization problem to the Markowitz portfolio optimization problem is introduced and analyzed. For the Markowitz problem and its dual, weak and strong vector duality assertions are derived. The optimality conditions are also verified.
- Źródło:
-
Control and Cybernetics; 1999, 28, 4; 691-702
0324-8569 - Pojawia się w:
- Control and Cybernetics
- Dostawca treści:
- Biblioteka Nauki
Artykuł