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A Bicriteria Approach Identifying Nondominated Portfolios
Joint Authors
Soto, Ricardo
Paredes, Fernando
Pereira, Javier
Crawford, Broderick
Source
Journal of Applied Mathematics
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-07-03
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
We explore a portfolio constructive model, formulated in terms of satisfaction of a given set of technical requirements, with the minimum number of projects and minimum redundancy.
An algorithm issued from robust portfolio modeling is adapted to a vector model, modifying the dominance condition as convenient, in order to find the set of nondominated portfolios, as solutions of a bicriteria integer linear programming problem.
In order to improve the former algorithm, a process finding an optimal solution of a monocriteria version of this problem is proposed, which is further used as a first feasible solution aiding to find nondominated solutions more rapidly.
Next, a sorting process is applied on the input data or information matrix, which is intended to prune nonfeasible solutions early in the constructive algorithm.
Numerical examples show that the optimization and sorting processes both improve computational efficiency of the original algorithm.
Their limits are also shown on certain complex instances.
American Psychological Association (APA)
Pereira, Javier& Crawford, Broderick& Paredes, Fernando& Soto, Ricardo. 2014. A Bicriteria Approach Identifying Nondominated Portfolios. Journal of Applied Mathematics،Vol. 2014, no. 2014, pp.1-8.
https://search.emarefa.net/detail/BIM-511309
Modern Language Association (MLA)
Pereira, Javier…[et al.]. A Bicriteria Approach Identifying Nondominated Portfolios. Journal of Applied Mathematics No. 2014 (2014), pp.1-8.
https://search.emarefa.net/detail/BIM-511309
American Medical Association (AMA)
Pereira, Javier& Crawford, Broderick& Paredes, Fernando& Soto, Ricardo. A Bicriteria Approach Identifying Nondominated Portfolios. Journal of Applied Mathematics. 2014. Vol. 2014, no. 2014, pp.1-8.
https://search.emarefa.net/detail/BIM-511309
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-511309