Content deleted Content added
Braceletboy (talk | contribs) m Add citation date |
|||
Line 198:
For example, [[portfolio optimization]] is often conducted in terms of [[Modern portfolio theory|mean-variance analysis]]. In this context, the efficient set is a subset of the portfolios parametrized by the portfolio mean return <math>\mu_P</math> in the problem of choosing portfolio shares to minimize the portfolio's variance of return <math>\sigma_P</math> subject to a given value of <math>\mu_P</math>; see [[Mutual fund separation theorem#Portfolio separation in mean-variance analysis|Mutual fund separation theorem]] for details. Alternatively, the efficient set can be specified by choosing the portfolio shares to maximize the function <math>\mu_P - b \sigma_P </math>; the set of efficient portfolios consists of the solutions as <math>b</math> ranges from zero to infinity.
Some of the above scalarizations involve invoking the [[minimax]] principle, where always the worst of the different objectives is optimized<ref>Xu, J., Tao, Z. (2011). Rough Multiple Objective Decision Making. Vereinigtes Königreich: CRC Press., Page 67 https://www.google.de/books/edition/Rough_Multiple_Objective_Decision_Making/zwDSBQAAQBAJ?hl=de&gbpv=1&dq=the%20minimax%20multi%20objective%20-game&pg=PA67</ref>.
== A posteriori methods ==
| |||