The efficient frontier approach to financial portfolio management is widely accepted to make tradeoffs between risk and reward, where reward is generally the returns from the portfolio and risk is the dispersion of those returns. But when other variables such as dividends, earnings surprise, net margins, etc., are the considered measures of reward, alternate portfolios may likely be efficient. It would be useful in such cases to see if there are certain portfolios that are efficient with respect to multiple variables and to evaluate the losses from using a portfolio that is efficient with respect to one variable but not another. In this paper we introduce the concept of multi-efficient portfolios and present an algorithm to identify them. This work was motivated by the acquisition process in the credit card industry where multiple variables such as net cash flows, risk of delinquency, chance of customer attrition, etc., are important in analyzing and soliciting applications from prospective customers. This multi-efficient portfolio approach has potential use in a wide array of applications where success is determined by performance on multiple variables, such as seed acreage (yield, quality), vendor selection (price, quality, flexibility), workforce planning (transactional versus experiential, simple versus complex, research ability versus teaching ability in universities), product portfolio management (sales, margins, growth, market share). Numerical examples, structural results and numerical analyses are presented to better understand the model and the import of the approach
