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