Expected mean return - standard deviation efficient frontier approximation with low-cardinality portfolios in the presence of the risk-free asset.
Przemyslaw JuszczukIgnacy KaliszewskiJanusz MiroforidisDmitry PodkopaevPublished in: Int. Trans. Oper. Res. (2023)
Keyphrases
- standard deviation
- efficient frontier
- data envelopment analysis
- multiple objective linear programming
- multiple criteria
- sharpe ratio
- portfolio optimization
- linear program
- decision makers
- transaction costs
- investment strategies
- normal distribution
- multi objective
- portfolio management
- impulse response
- linear programming
- multiobjective optimization
- root mean square error
- input output
- portfolio selection
- correlation coefficient
- mathematical programming
- random samples
- dominant orientation
- investment decisions
- high dimensional
- lower bound