For multiobjective optimization problems, it is meaningful to compute a set of solutions covering all possible trade-offs between the different objectives. The multiobjective knapsack problem is a generalization of the classical knapsack problem in which each item has several profit values. For...

We propose a new approach that allows for incorporating qualitative views, such as ordering information, into estimates of future asset returns within the Black-Litterman model. We develop a mathematical framework and numerical computation methods for this setting. We find importance sampling to...