Multiobjective Optimization: Portfolio Optimization Based on Goal Programming Methods
نویسندگان
چکیده
While solution methods are well-known for optimization problems with a single objective function, there are many common real world scenarios in which a single function does not suffice. Multiobjective or multicriteria optimization is the branch of optimization that deals with the case of two or more objective functions. An important example is the biobjective problem that arises in portfolio optimization. In this paper we will examine the use of the weighted sum of deviations and Chebyshev goal programming methods to find optimal allocations of capital in various assets that attains a desired level of return with a minimal amount of risk.
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