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Trade-Off Guided Search for Approximate Pareto Optimal Portfolios

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Juszczuk P., Kaliszewski I., Miroforidis J.
Multiple Criteria Decision Making
|
2017
|
vol. 12
49-59
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.
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