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

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• 作者：Yue Qi
• 关键词：Multiple ; objective optimization ; Portfolio selection ; Multiple ; objective portfolio selection ; Quadratic ; linear curve
• 刊名：Central European Journal of Operations Research
• 出版年：2017
• 出版时间：March 2017
• 年：2017
• 卷：25
• 期：1
• 页码：145-158
• 全文大小：
• 刊物主题：Operation Research/Decision Theory;
• 出版者：Springer Berlin Heidelberg
• ISSN：1613-9178
• 卷排序：25

文摘

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.