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Computational Investigations Evidencing Multiple Objectives in Portfolio Optimization

  • Conference paper
Multi-Objective Programming and Goal Programming

Part of the book series: Advances in Soft Computing ((AINSC,volume 21))

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Abstract

In this paper we argue for the recognition of criteria beyond risk and return in portfolio theory in finance. We discuss how multiple criteria are logical and demonstrate computational results consistent with the existence of multiple criteria in portfolio selection. With the efficient frontier becoming an efficient surface, the paper considers that what is the modern portfolio theory of today is best interpreted as a projection onto two-space of the real multiple criteria portfolio selection problem in higher dimensional space.

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Authors and Affiliations

  1. Terry College of Business, University of Georgia, Athens, Georgia, 30602-6253, USA

    Ralph E. Steuer & Yue Qi

Authors
  1. Ralph E. Steuer
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  2. Yue Qi
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© 2003 Springer-Verlag Berlin Heidelberg

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Steuer, R.E., Qi, Y. (2003). Computational Investigations Evidencing Multiple Objectives in Portfolio Optimization. In: Multi-Objective Programming and Goal Programming. Advances in Soft Computing, vol 21. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-36510-5_4

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  • DOI: https://doi.org/10.1007/978-3-540-36510-5_4

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-00653-4

  • Online ISBN: 978-3-540-36510-5

  • eBook Packages: Springer Book Archive

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