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Fakultät für Mathematik
G. Wanka : Multiobjective duality for the Markowitz portfolio optimization problem

G. Wanka : Multiobjective duality for the Markowitz portfolio optimization problem


Author(s) :
G. Wanka
Title :
Multiobjective duality for the Markowitz portfolio optimization problem
Electronic source:
application/pdf
Preprint series
Technische Universität Chemnitz, Fakultät für Mathematik (Germany). Preprint 98-26, 1998
Mathematics Subject Classification :
90C29 [ Multi-objective programming, etc. ]
90A09 [ Finance, etc. ]
49N15 [ Duality theory (optimization) ]
Abstract :
For the classical Markowitz portfolio biobjective optimization problem there is established a biobjective dual optimization problem. The both objectives for the primal problem are the espected return and the variance of a portfolio combined by a number of risky securities. For the Markowitz problem and its dual weak and strong vectorial duality assertions are derived as well as optimality conditions are verified.
Keywords :
portfolio optimization, duality, optimality conditions
Language :
english
Publication time :
11/1998

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