Mean--variance portfolio selection problem: Asset reduction via nondominated sorting

• Published in: The Quarterly review of economics and finance Vol. 86; pp. 263 - 272
• Main Authors: Juszczuk, Przemysław, Kaliszewski, Ignacy, Miroforidis, Janusz, Podkopaev, Dmitry
• Format: Journal Article
• Language: English
• Published: Elsevier Inc 01.11.2022
• Subjects: Asset reduction; Large-scale problems; Mean–variance model; Portfolio selection; Portfolio selection; Asset reduction; Mean–variance model; Large-scale problems

Due to recent globalization of financial markets, investors have access to large numbers of assets. It may be beneficial for them to focus on a limited number of assets filtered out by some meaningful procedure. This, however, can result in selecting portfolios which, in terms of reward and risk, ar...