ROBUST MULTI-PERIOD AND MULTI-OBJECTIVE PORTFOLIO SELECTION

被引：7

作者：

Jiang, Lin ^{[1
]}

Wang, Song ^{[1
]}

机构：

[1] Curtin Univ, Dept Math & Stat, GPO Box U1987, Perth, WA 6845, Australia

来源：

JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION | 2021年 / 17卷 / 02期

关键词：

Portfolio selection; robust optimization; multi-objective optimization; weighted-sum; OPTIMIZATION; ALGORITHM;

D O I：

10.3934/jimo.2019130

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

In this paper, a multi-period multi-objective portfolio selection problem with uncertainty is studied. Under the assumption that the uncertainty set is ellipsoidal, the robust counterpart of the proposed problem can be transformed into a standard multi-objective optimization problem. A weighted-sum approach is then introduced to obtain Pareto front of the problem. Numerical examples will be presented to illustrate the proposed method and validate the effectiveness and efficiency of the model developed.

引用

页码：695 / 709

页数：15

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