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

European Journal of Operational Research

Volumn 234, Issue 2, 2014, Pages 491-498

  Utz, Sebastian ^a   Wimmer, Maximilian ^a   Hirschberger, Markus ^b   Steuer, Ralph E ^c  

^a UNIVERSITY OF REGENSBURG   (Germany)

^b Munich Re   (Germany)

^c UNIVERSITY OF GEORGIA   (United States)

Author keywords

Inverse optimization; Multiple criteria decision making; Multiple criteria optimization; Nondominated surfaces; Portfolio selection; Socially responsible investing

Indexed keywords

INVERSE OPTIMIZATION; MULTIPLE CRITERIA DECISION MAKING; MULTIPLE CRITERIA OPTIMIZATION; PORTFOLIO SELECTION; SOCIALLY RESPONSIBLE INVESTING;

FINANCIAL DATA PROCESSING; INVERSE PROBLEMS; INVESTMENTS; SCREENING;

OPTIMIZATION;

EID: 84890811325     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2013.07.024     Document Type: Article

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