Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds
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- Utz, Sebastian & Wimmer, Maximilian & Steuer, Ralph E., 2015. "Tri-criterion modeling for constructing more-sustainable mutual funds," European Journal of Operational Research, Elsevier, vol. 246(1), pages 331-338.
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More about this item
KeywordsSocially responsible investing; Inverse optimization; Portfolio selection; Multiple criteria optimization; Nondominated surfaces; Multiple criteria decision making;
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