Robust multiobjective portfolio with higher moments

作者：

Highlights：

• Set order relations are extended to uncertain multiobjective portfolio.

• Minmax/minmin robust formulations are built, respectively.

• MOPSO is employed to find robust efficient solutions.

• Applications to Markowitz M-V model are investigated, and some new discoveries identified.

摘要

•Set order relations are extended to uncertain multiobjective portfolio.•Minmax/minmin robust formulations are built, respectively.•MOPSO is employed to find robust efficient solutions.•Applications to Markowitz M-V model are investigated, and some new discoveries identified.

论文关键词：Mean-variance portfolio,Set order relations,Higher moments,Robustly efficient,Multiobjective particle swarm optimization

论文评审过程：Received 29 October 2017, Revised 3 January 2018, Accepted 1 February 2018, Available online 5 February 2018, Version of Record 16 February 2018.

论文官网地址：https://doi.org/10.1016/j.eswa.2018.02.004