An analytical derivation of the efficient surface in portfolio selection with three criteria

@article{Qi2017AnAD,
  title={An analytical derivation of the efficient surface in portfolio selection with three criteria},
  author={Y. Qi and R. Steuer and M. Wimmer},
  journal={Annals of Operations Research},
  year={2017},
  volume={251},
  pages={161-177}
}
  • Y. Qi, R. Steuer, M. Wimmer
  • Published 2017
  • Mathematics
  • Annals of Operations Research
  • In standard mean-variance bi-criterion portfolio selection, the efficient set is a frontier. While it is not yet standard for there to be additional criteria in portfolio selection, there has been a growing amount of discussion in the literature on the topic. However, should there be even one additional criterion, the efficient frontier becomes an efficient surface. Striving to parallel Merton’s seminal analytical derivation of the efficient frontier, in this paper we provide an analytical… CONTINUE READING
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