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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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  • Kaliszewski I., Miroforidis J. (2010), Multiple Criteria Decision Making: From Exact to Heuristic Optimization [in:] Multiple Criteria Decision Making '09, eds. T. Trzaskalik, T. Wachowicz, The University of Economics in Katowice, 113-120.
  • Kaliszewski I., Miroforidis J. (2012), Real and Virtual Pareto Set Upper Approximations [in:] Multiple Criteria Decision Making '11, eds. T. Trzaskalik, T. Wachowicz, The Publisher of University of Economics in Katowice, 121-131.
  • Kaliszewski I., Miroforidis J., Podkopaev D. (2012a), Interactive Multiple Criteria Decision Making Based on Preference Driven Evolutionary Multiobjective Optimization with Controllable Accuracy, European Journal of Operational Research, 216, 188-199.
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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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