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Portfolio selection in the presence of multiple criteria

Steuer, Ralph E.; Qi, Yue; Hirschberger, Markus - In: Handbook of financial engineering, (pp. 3-24). 2008

Persistent link: https://www.econbiz.de/10003753587

Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming

Hirschberger, Markus; Qi, Yue; Steuer, Ralph E. - In: European journal of operational research : EJOR 204 (2010) 3, pp. 581-588

Persistent link: https://www.econbiz.de/10003955972

Dotted representations of mean-variance efficient frontiers and their computation

Qi, Yue; Hirschberger, Markus; Steuer, Ralph E. - In: INFOR : information systems and operational research 47 (2009) 1, pp. 15-21

Persistent link: https://www.econbiz.de/10003959501

Computational investigations evidencing multiple objectives in portfolio optimization

Steuer, Ralph E.; Qi, Yue - In: Multi-objective programming and goal programming : …, (pp. 35-44). 2003

Persistent link: https://www.econbiz.de/10002005943

Computing cardinality constrained portfolio selection efficient frontiers via closest correlation matrices

Steuer, Ralph E.; Qi, Yue; Wimmer, Maximilian - In: European journal of operational research : EJOR 313 (2024) 2, pp. 628-636

Persistent link: https://www.econbiz.de/10014456608

Is socially responsible investing just screening? : evidence from mutual funds

Hirschberger, Markus; Steuer, Ralph E.; Utz, Sebastian; … - 2012

This paper presents the results of an empirical study concerning conventional and socially responsible mutual funds.We apply a sophisticated operations research algorithm embedded in inverse portfolio optimization on financial market data, ESG-scores and CRSP fund data. Due to our results we...

Persistent link: https://www.econbiz.de/10009506554

Overviewing the transition of Markowitz bi-criterion portfolio selection to tri-criterion portfolio selection

Steuer, Ralph E.; Wimmer, Maximilian; Hirschberger, Markus - In: Journal of business economics : JBE 83 (2013) 1, pp. 61-85

Persistent link: https://www.econbiz.de/10009718381

Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds

Utz, Sebastian; Wimmer, Maximilian; Hirschberger, Markus; … - In: European journal of operational research : EJOR 234 (2014) 2, pp. 491-498

Persistent link: https://www.econbiz.de/10010356715

Comments on: Multicriteria decision systems for financial problems

Steuer, Ralph E. - In: Top : transactions in operations research 21 (2013) 2, pp. 279-281

Persistent link: https://www.econbiz.de/10009761307

Non-fully resolved questions about the efficient nondominated set

Steuer, Ralph E. - In: Multicriteria analysis : proceedings of the XIth …, (pp. 585-589). 1997

Persistent link: https://www.econbiz.de/10001295774

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