Minimal concave cost rebalance of a portfolio to the efficient frontier.

Hiroshi Konno Rei Yamamoto

Published in: Math. Program. (2003)

Keyphrases

efficient frontier
data envelopment analysis
multiple objective linear programming
multiple criteria
linear program
decision makers
multi objective
objective function
linear programming
input output
multi criteria
decision making
state space
piecewise linear
multiobjective optimization