METHODS OF MULTICRITERIA OPTIMIZATION AND MATHEMATICAL PROGRAMMING IN PORTFOLIO ANALYSIS

UDC 519.86
DOI: 10.36871/2618-9976.2023.04.006

Authors

Daria S. Nabatova,
Candidate of Physical and Mathematical Sciences, Financial University, Moscow, Russia

Abstract

The solution of the problem of finding the optimal portfolio according to two criteria is considered; return and risk. Solving the problem using the Lagrange function allows you to write down an analytical expression and build a Pareto effective frontier.

Keywords

Optimal portfolio search problems, Nonlinear programming, Lagrange method, Multiobjective optimization, Pareto-optimal frontier