4/8(二) Prof. Ralph E. Steuer，專題演講相關訊息如下:

時間: 4/8(二) 13:00-15:00

地點: 管理學院一號館2F 重光講堂

演講人: Prof. Ralph E. Steuer (University of Georgia)

講題: On Exactly Generalizing Markowitz to Portfolio Selection with a Third Criterion

Abstract:

Over sixty years ago, Markowitz introduced the mean-variance efficient frontier to finance. While 

mean-variance is still the predominant model in portfolio selection, it has endured many criticisms. 

One of its most persistent has been that it does not allow for additional criteria. The difficulty is 

that with additional criteria, the efficient frontier becomes a surface. With some recent results on 

how to compute surfaces, we provide a method for exactly translating Markowitz’s risk-return (bi-criterion) 

approach to tri-criteria when the extra objective is linear (such as for dividends, liquidity, social 

responsibility, etc.). The case of when the third criterion is quadratic is also discussed. With the 

geometry of the generalization of this paper playing a major role, many graphs are used to illustrate.