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Full-Text Articles in Numerical Analysis and Computation
Screening And Sufficiency In Multiobjective Decision Problems With Large Alternative Sets, Michael D. Cote
Screening And Sufficiency In Multiobjective Decision Problems With Large Alternative Sets, Michael D. Cote
Theses and Dissertations
Portfolio selection problems with combinatorially-large alternative sets can be impossible to evaluate precisely on a reasonable timescale. When portfolios require complex modeling for performance assessment, prohibitive computational processing times can result. Eliminating a small number of alternatives through an intelligent screening process can greatly reduce the number of alternative combinations, thereby decreasing a problem's evaluation time and cost. A methodology was developed for the class of hierarchical portfolio selection problems in which multiple objectives are all judged on the same sub-objectives. First, a novel capability-based alternative screening process was devised to identify and remove poor alternatives, thereby reducing the number …