| Article ID: | iaor19992204 |
| Country: | United Kingdom |
| Volume: | 49 |
| Issue: | 9 |
| Start Page Number: | 998 |
| End Page Number: | 1000 |
| Publication Date: | Sep 1998 |
| Journal: | Journal of the Operational Research Society |
| Authors: | Ballestero E. |
| Keywords: | programming: multiple criteria |
The optimum portfolio for an investor who has a well-defined particular preference for profitability and safety is approximated on the mean-variance efficient frontier by resorting to a new bounding utility theorem which is stated and proven in the paper.