References 

Allen, D.E., M. McAleer, R, Powell, and A.K. Singh (2016), Down-side risk metrics as portfolio diversi_cation strategies across the global _nancial crisis, Journal of Risk and Financial Management, 9(2), 6; Doi:10.3390/jrfm9020006.

Bali, T.G., S.J. Brown., and K.O. Dermitas (2013), Do hedge funds outperform stocks and bonds?, Management Science, 59 (8), 1887-1903.

Barry, C.B. (1974), Portfolio analysis under uncertain means, variances, and covariances, Journal of Finance 29, 515_522.

Bawa, V. S., Brown, S., and R. Klein (1979), Estimation Risk and Optimal Portfolio Choice, North Holland, Amsterdam.

Boudt, K., B. Peterson, and C. Croux (2008), Estimation and decomposition of downside risk for portfolios with non-normal returns, Journal of Risk, 11,2, 79-103.

Choueifaty,Y., and Y. Coignard (2008), Toward maximum diversification, Journal of Portfolio Management, 34 (4), 40-51.

Choueifaty,Y., T. Froidure, and J. Reynier (2013), Properties of the most diversifed portfolio, Journal of Investment Strategies, 2, 1-22.

Deb, K. (2001), Multi-Objective Optimization using Evolutionary Algorithms, UK, Wiley.

Deb, K. (2011), Multi-objective evolutionary optimisation for product design and manufacturing, Chapter in Multi-Objective Optimization Using Evolutionary Algorithms: An Introduction, New York, Springer, pp. 3-34.

Deb, K., R. Steuer, R. Tewari, and R. Tewari (2011), On the Effectiveness of a NSGA-II Local Search Approach Customized for Portfolio Optimization, KanGAL Report 2011007, Indian Institute of Technology Kanpur, Kanpur, India.

DeMiguel, V., L. Garlappi, and R. Uppal (2009), Optimal versus naive diversication: how inefficient is the 1/N portfolio diversification strategy?, Review of Financial Studies, 22, 1915_1953.

O'Doherty, M.S., N.E. Savin, and A. Tiwari (2016) Evaluating hedge funds with pooled benchmarks, Management Science, 62 (1), 69-89.

Hallerbach, W.G. and J. Spronk (2002), The relevance of MCDM for financial decisions, Journal of Multi-Criteria Decision Analysis, 11(4-5), 187-195.

Jobson, J.D., R. Korkie, and V. Ratti (1979), Improved estimation for Markowitz portfolios using James-Stein type estimators, Proceedings of the American Statistical Association, 41, pp. 279_292.

Jobson, J.D., and R. Korkie (1980), Estimation for Markowitz efficient portfolios, Journal of the American Statistical Association, 75, 544_554.

Jorion, P. (1985), International portfolio diversification with estimation risk, Journal of Business, 58, 259_278.

Markowitz, H.M. (1952), Portfolio selection, Journal of Finance, 7(1), 77_91.

Markowitz, H.M. (1959), Portfolio Selection Efficient Diversification of Investments; Cowles Foundation, Wiley, New York.

Michaud, R.O. (1989), The Markowitz optimization enigma: Is `optimized´ optimal? Financial Analysts Journal, 45, 31_42.

Pfaff, B. (2016), R/Finance 2016: Applied Finance with R, May 2016, Chicago, IL, USA, Talk: Portfolio Selection with Multiple Criteria, available at: http://www.pfa_kus.de/rif.html.

Qi, Y., R.E. Steuer, and M. Wimmer (2015), An analytical derivation of the efficient surface in portfolio selection with three criteria, Annals of Operations Research, doi:10.1007/s10479-015-1900-y.

Rockafellar, R.T., S. Uryasev, and M. Zabarankin (2006), Master funds in portfolio analysis with general deviation measures, Journal of Banking and Finance, 30, 743_776.

Rockafellar, R.T., S. Uryasev, and M. Zabarankin (2007a), Optimality conditions in portfolio analysis with general deviation measures, Mathematical Programming, 108, 515_540.

Rockafellar, R.T., S. Uryasev, and M. Zabarankin (2007b), Equilibrium with investors using a diversity of deviation measures, Journal of Banking and Finance, 31, 3251_3268.

Roy, A.D. (1952), Safety first and the holding of assets, Econometrica, 3, 431_449.

Streichert, F., H. Ulmer, and A. Zell (2003), Evolutionary algorithms and the cardinality constrained portfolio optimization problem, in Selected Papers of the International Conference on Operations Research, Springer-Verlag, Berlin, pp. 253-260.

Steuer, R., Y. Qi, and M. Hirschberger (2005), Multiple objectives in portfolio selection, Journal of Financial Decision Making, 1DOI: 10.1007/s10479-015-1900-y.

Steuer, R., Y. Qi, and M. Hirschberger (2007), Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection, Annals of Operations Research, 152(1), 297_317.

Steuer, R., M. Wimmer, and M. Hirschberger (2013), Overviewing the transition of Markowitz bi-criterion portfolio selection to tri-criterion portfolio selection, Journal of Business Economics, 83(1), 61_85.

Utz, S., M. Wimmer, and R. Steuer (2015), Tri-criterion modeling for constructing more-sustainable mutual funds, European Journal of Operational Research, 246(1), 331_338.

Wallenius, J., J.S. Dyer, P.C. Fishburn, R.E. Steur, S. Zints, and K. Deb (2008), Multiple criteria decison making, multiattribute utility theory: Recent accomplishments and what lies ahead, Management Science, 54, 1336-1349.

Zabarankin, M., K. Pavlikov, S. Uryasev (2014), Capital asset pricing model (CAPM) with draw-down measure, European Journal of Operational Research, 234, 508_517.