On the Equivalence of Optimality Principles in the Two-Criteria Problem of the Investment Portfolio Choice.
Victor GorelikTatiana ZolotovaPublished in: DOOR (Supplement) (2016)
Keyphrases
- portfolio management
- market data
- decision making
- investment decisions
- optimal portfolio
- asset allocation
- investment strategies
- optimality criterion
- design principles
- portfolio optimization
- portfolio selection
- data sets
- optimal solution
- selection criteria
- long run
- evaluation criteria
- real option
- sufficient conditions
- equivalence relation
- transaction costs
- multi criteria
- rough sets
- integer linear programming formulation
- artificial intelligence
- real time
- var model