Multiobjective duality for the Markowitz portfolio optimization problem

被引：0

作者：

Wanka, G ^{[1
]}

机构：

[1] Tech Univ Chemnitz, Fac Math, D-09107 Chemnitz, Germany

来源：

CONTROL AND CYBERNETICS | 1999年 / 28卷 / 04期

关键词：

portfolio optimization; duality; optimality conditions;

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

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.

引用

页码：691 / 702

页数：12

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