In this paper, we consider the inclusion of the solvency capital requirement (SCR) into portfolio optimization by the use of a quadratic proxy model. The Solvency II directive requires insurance companies to calculate their SCR based on the complete loss distribution for the upcoming year. Since...

Scalarization is a common technique to transform a multiobjective optimization problem into a scalar-valued optimization problem. This article deals with the weighted Tchebycheff scalarization applied to multiobjective discrete optimization problems. This scalarization consists of minimizing the...

We provide a comprehensive overview of the literature of algorithmic approaches for multiobjective mixed‐integer and integer linear optimization problems. More precisely, we categorize and display exact methods for multiobjective linear problems with integer variables for computing the entire...

This article is dedicated to the weight set decomposition of a multiobjective (mixed-)integer linear problem with three objectives. We propose an algorithm that returns a decomposition of the parameter set of the weighted sum scalarization by solving biobjective subproblems via Dichotomic Search...

Verlagsinfo: Die multikriterielle Optimierung besitzt - obwohl ein junges Forschungsgebiet der Mathematik, Informatik und Wirtschaftswissenschaften - ein großes Potential für die Entscheidungspraxis, da Entscheider häufig mit mehreren, gegenläufigen Zielen konfrontiert werden. Der...