Analytical Shortcuts to Multiple-Objective Portfolio Optimization: Investigating the Non-Negativeness of Portfolio Weight Vectors of Equality-Constraint-Only Models and Implications for Capital Asset Pricing Models

Computing optimal-solution sets has long been a topic in multiple-objective optimization. Despite substantial progress, there are still research limitations in the multiple-objective portfolio optimization area. The optimal-solution sets’ structure is barely known. Public-domain software for even th...

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Bibliographic Details
Main Authors: Yue Qi, Yue Wang, Jianing Huang, Yushu Zhang
Format: Article
Language:English
Published: MDPI AG 2024-12-01
Series:Mathematics
Subjects:
Online Access:https://www.mdpi.com/2227-7390/12/24/3946
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