Determination of the efficient set in multiobjective linear programming
Journal of Optimization Theory and Applications
Outcome space partition of the weight set in multiobjective linear programming
Journal of Optimization Theory and Applications
Multicriteria Optimization
A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix
SIAM Journal on Matrix Analysis and Applications
Efficient implementation of an active set algorithm for large-scale portfolio selection
Computers and Operations Research
Portfolio Selection with Robust Estimation
Operations Research
A dual variant of Benson's "outer approximation algorithm" for multiple objective linear programming
Journal of Global Optimization
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Computing the nondominated set of a multiple objective mathematical program has long been a topic in multiple criteria decision making. In this paper, motivated by the desire to extend Markowitz portfolio selection to an additional linear criterion dividends, liquidity, sustainability, etc., we demonstrate an exact method for computing the nondominated set of a tri-criterion program that is all linear except for the fact that one of its objectives is to minimize a convex quadratic function. With the nondominated set of the resulting quad-lin-lin program being a surface composed of curved platelets, a multiparametric algorithm is devised for computing the platelets so that they can be graphed precisely. In this way, graphs of the tri-criterion nondominated surface can be displayed so that, as in traditional portfolio selection, a most preferred portfolio can be selected while in full view of all other contenders for optimality. Finally, by giving an example for socially responsible investors, we demonstrate that our algorithm can outperform standard portfolio strategies for multicriterial decision makers.