An MCDM approach to portfolio optimization

Article Abstract:

A model for portfolio optimization extending the classical Markowitz mean-variance model is projected. A hierarchy of objectives is formulated, which decomposes risk and return into five sub-objectives allowing individual investors preferences to be taken into account.

Models, Optimization theory, Utility theory, Utility functions, Mathematical programming

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Generating ?-efficient solutions in multiobjective programming

Article Abstract:

The usefulness of multiobjective programs for the scalarization of ?-non-dominated outcomes to generate ?-efficient solutions with ?-optimality, based on ?-Pareto outcomes, is described.

United States, Heuristic programming

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A time-dependent multiple criteria single-machine scheduling problem

Article Abstract:

A nonpreemptive single-machine scheduling model with time-dependent multiple criteria is proposed and an approach to generate all its efficient solutions is described.

Research, Scheduling (Management)

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