Robust and Multi-objective Portfolio Selection
In this thesis, robust and multi-objective portfolio selection problem will be studied. New models and computational algorithms will be developed to solve the proposed models. In particularly, we have studied multi-objective portfolio selection with inexact information on investment return and covar...
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| Format: | Thesis |
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Curtin University
2020
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| Online Access: | http://hdl.handle.net/20.500.11937/82486 |
| Summary: | In this thesis, robust and multi-objective portfolio selection problem will be studied. New models and computational algorithms will be developed to solve the proposed models. In particularly, we have studied multi-objective portfolio selection with inexact information on investment return and covariance matrix. The problems have been transformed into easily solvable problems through theoretical analysis. Numerical experiments are presented to validate the methods. |
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