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On the criterion vectors of lines of portfolio selection with multiple quadratic and multiple linear objectives

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  • Yue Qi

    (Nankai University)

Abstract

As the research for portfolio selection evolves, traditional models and models with one quadratic objective and multiple linear objectives are being solved. In this paper, I propose models with multiple quadratic and multiple linear objectives. Due to the difficulty involved, I study the new models by lines in decision space, analyze the criterion vectors of the lines by projection, and approximate the nondominated sets by the criterion vectors. As an illustration, I extend Merton’s portfolio selection model, propose algorithms to approximate the nondominated sets by the criterion vectors of portfolios with cardinality 3 and then K, and demonstrate the number of the criterion vectors.

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  • Yue Qi, 2017. "On the criterion vectors of lines of portfolio selection with multiple quadratic and multiple linear objectives," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 25(1), pages 145-158, March.
  • Handle: RePEc:spr:cejnor:v:25:y:2017:i:1:d:10.1007_s10100-015-0431-6
    DOI: 10.1007/s10100-015-0431-6
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    References listed on IDEAS

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    Cited by:

    1. Petr Fiala, 2018. "Project portfolio designing using data envelopment analysis and De Novo optimisation," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 26(4), pages 847-859, December.

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