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.