Multiobjective duality for the Markowitz portfolio optimization problem

• Autorzy: Wanka G.
• Języki publikacji: EN

Abstrakty

EN

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.

Słowa kluczowe

EN

duality; expected return; investment; Markowitz model; optimality conditions; portfolio optimization

PL

dualność; optymalizacja

• Wydawca: Systems Research Institute, Polish Academy of Sciences
• Czasopismo: Control and Cybernetics
• Rocznik: 1999
• Tom: Vol. 28, no 4
• Strony: 691--702
• Opis fizyczny: Bibliogr 18 poz.,

Twórcy

autor

Wanka G.