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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.
Czasopismo
Rocznik
Tom
Strony
691--702
Opis fizyczny
Bibliogr 18 poz.,
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autor
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Bibliografia
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bwmeta1.element.baztech-article-BAT2-0001-0976