ROBUST MULTI-PERIOD AND MULTI-OBJECTIVE PORTFOLIO SELECTION

In this paper, a multi-period multi-objective portfolio selection problem with uncertainty is studied. Under the assumption that the uncertainty set is ellipsoidal, the robust counterpart of the proposed problem can be transformed into a standard multi-objective optimization problem. A weighted-sum approach is then introduced to obtain Pareto front of the problem. Numerical examples will be presented to illustrate the proposed method and validate the effectiveness and efficiency of the model developed.

Automated summary

This paper investigates a multi-period multi-objective portfolio selection problem with uncertainty, and proposes a weighted-sum approach to address the issue. Numerical examples are provided to demonstrate the effectiveness and efficiency of the proposed method.