BICRITERIA OPTIMIZATION PROBLEM OF DESIGNING AN INDEX FUND

Authors
TABATA Y TAKEDA E
Citation
Y. Tabata et E. Takeda, BICRITERIA OPTIMIZATION PROBLEM OF DESIGNING AN INDEX FUND, The Journal of the Operational Research Society, 46(8), 1995, pp. 1023-1032
Citations number
9
Categorie Soggetti
Management,"Operatione Research & Management Science","Operatione Research & Management Science
Journal title
The Journal of the Operational Research Society → ACNP
ISSN journal
01605682
Volume
46
Issue
8
Year of publication
1995
Pages
1023 - 1032
Database
ISI
SICI code
0160-5682(1995)46:8<1023:BOPODA>2.0.ZU;2-F
Abstract
This paper is concerned with a traditional asset allocation of the Mar kowitz type and develops an efficient algorithm to design an index fun d that is a compromise solution to the bicriteria optimization problem . A numerical example is provided to illustrate our algorithm.