Solving a mixed-integer multiobjective bond portfolio model involving logical conditions

This paper presents the application of a logic-based modelling language and integer programming framework for multicriteria optimisation proposed by Pinto and Rustem to solve a bond portfolio problem. This application requires the analysis of conflicting objectives. The relevant information that should be taken into consideration during the solution search process can be better respresented in terms of algebraic and logical relationships. The bond portfolio problem is introduced and the deterministic case is described based on the model by Nauss. A logic-based model for a fictitious example is given, and finally the paper illustrates how one can interactively address the multiplicity of objectives.