Portfolio Selection: A Compromise Programming Solution
提出一种替代方法，用双准则效用函数（盈利性、安全性）的代理来筛选投资组合，适用于信息不完全时的投资顾问常规操作。
A surrogate for an investor's bi-criteria utility function (profitability, safety) is proposed as an alternative methodology for selecting portfolios. The optimum is approximated by resorting to a recent utility theorem expounded in multi-criteria analysis. This method is developed for an ‘average’ investor and could be used as a routine procedure by investment consultants with incomplete information of the client's utility function.