A new algorithm for selecting an effective investment project portfolio from a collection of projects developed by a company has been presented in this paper. The problem of selecting an investment project was formulated as multi-objective optimization problem. The algorithm is suited for...

In the classic Markowitz model, risk is measured by the return rates variance. However, equal treatment of negative and positive deviations from the expected return rate is a slight shortcoming of variance as the risk measure. Markowitz defined semi-variance to measure the negative deviations...