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2017 | 12 | 49-59
Article title

Trade-Off Guided Search for Approximate Pareto Optimal Portfolios

Content
Title variants
Languages of publication
EN
Abstracts
EN
In this paper, we attempt to represent the Pareto Front in the Markowitz mean-variance model by two-sided discrete approximations. We discuss the possibility of using such approximations for portfolio selection. The potential of the approach is illustrated by the results of preliminary numerical experiments.
Year
Volume
12
Pages
49-59
Physical description
Contributors
  • University of Economics in Katowice. Faculty of Informatics and Communication. Department of Knowledge Engineering
  • Systems Research Institute. Polish Academy of Sciences. Warsaw, Poland
  • Systems Research Institute. Polish Academy of Sciences. Warsaw, Poland
References
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Document Type
Publication order reference
Identifiers
ISSN
2084-1531
YADDA identifier
bwmeta1.element.cejsh-87bec198-2864-4b60-aa19-d50ce151f2bc
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