This chapter presents the survey of selected linear and mixed integer programming multi-objective portfolio optimization. The definitions of selected percentile risk measures are presented. Some contrasts and similarities of the different types of portfolio formulations are drawn out. The survey...

This chapter presents selected multiobjective methods for multiperiod portfolio optimization problem. Portfolio models are formulated as multicriteria mixed integer programs. Reference point method together with weighting approach is proposed. The portfolio selection problem considered is based...

This chapter presents the portfolio optimization problem formulated as a multi-criteria mixed integer program. Weighting and lexicographic approach are proposed. The portfolio selection problem considered is based on a single-period model of investment. An extension of the Markowitz portfolio...