We present a framework for inverse optimization in a Markowitz portfolio model that is extended to include a third criterion. The third criterion causes the traditional nondominated frontier to become a surface. Until recently, it had not been possible to compute such a surface. But by using a...

In this paper, we describe an interactive procedural algorithm for convex multiobjective programming based upon the Tchebycheff method, Wierzbicki's reference point approach, and the procedure of Michalowski and Szapiro. At each iteration, the decision maker (DM) has the option of expressing his...

Despite the volume of research conducted on efficient frontiers, in many cases it is still not the easiest thing to compute a mean-variance (MV) efficient frontier even when all constraints are linear. This is particularly true of large-scale problems having dense covariance matrices and hence...