Portfolio Selection with Risk Aversion Index by Optimizing over Pareto Set

In decision making theory, portfolio selection problems have an important role, which suggest the best choices among many investing alternatives. Within our article, we take into consideration the portfolio selection problem with risk aversion index as an optimization problem over the efficient set of a convex biobjective programming problem based on Markowitz mean-variance model. By using the outcome space approach, we alter the considered problem to a convex programming problem, which is solved efficiently by some computational tools. The proposed algorithm is applied to optimize security portfolios and some experiments are reported.