IDEAS home Printed from https://ideas.repec.org/a/hin/jnljam/957108.html
   My bibliography  Save this article

A Bicriteria Approach Identifying Nondominated Portfolios

Author

Listed:
  • Javier Pereira
  • Broderick Crawford
  • Fernando Paredes
  • Ricardo Soto

Abstract

We explore a portfolio constructive model, formulated in terms of satisfaction of a given set of technical requirements, with the minimum number of projects and minimum redundancy. An algorithm issued from robust portfolio modeling is adapted to a vector model, modifying the dominance condition as convenient, in order to find the set of nondominated portfolios, as solutions of a bicriteria integer linear programming problem. In order to improve the former algorithm, a process finding an optimal solution of a monocriteria version of this problem is proposed, which is further used as a first feasible solution aiding to find nondominated solutions more rapidly. Next, a sorting process is applied on the input data or information matrix, which is intended to prune nonfeasible solutions early in the constructive algorithm. Numerical examples show that the optimization and sorting processes both improve computational efficiency of the original algorithm. Their limits are also shown on certain complex instances.

Suggested Citation

  • Javier Pereira & Broderick Crawford & Fernando Paredes & Ricardo Soto, 2014. "A Bicriteria Approach Identifying Nondominated Portfolios," Journal of Applied Mathematics, Hindawi, vol. 2014, pages 1-8, July.
    • Handle: RePEc:hin:jnljam:957108
    DOI: 10.1155/2014/957108
    as

    Download full text from publisher

    File URL: http://downloads.hindawi.com/journals/JAM/2014/957108.pdf
    Download Restriction: no
    File URL: http://downloads.hindawi.com/journals/JAM/2014/957108.xml
    Download Restriction: no
    File URL: https://libkey.io/10.1155/2014/957108?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hin:jnljam:957108. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mohamed Abdelhakeem (email available below). General contact details of provider: https://www.hindawi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.