We consider the classical Markowitz portfolio optimization problem with additional constraints representing so-called short sales.  The two objectives of this multiobjective problem are the expected return and the variance of a portfolio combined by a number of risky securities. A...

A multiobjective programming problem characterized by convex goal functions and linear inequality constraints is studied. The investigation aims to the construction of a multiobjective dual problem permitting the verification of strong duality as well as optimality conditions.  For the...

We consider the classical Markowitz portfolio optimization problem with additional constraints representing so-called short sales.  The two objectives of this multiobjective problem are the expected return and the variance of a portfolio combined by a number of risky securities. A...

A multiobjective programming problem characterized by convex goal functions and linear inequality constraints is studied. The investigation aims to the construction of a multiobjective dual problem permitting the verification of strong duality as well as optimality conditions.  For the...