In this paper, a multi-period multi-objective portfolio selection problem with uncertainty is studied. Under the assumption that the uncertainty set is ellipsoidal, the robust counterpart of the proposed problem can be transformed into a standard multi-objective optimization problem. A weighted-sum approach is then introduced to obtain Pareto front of the problem. Numerical examples will be presented to illustrate the proposed method and validate the effectiveness and efficiency of the model developed.

中文翻译：

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稳健的多期多目标投资组合选择

本文研究了具有不确定性的多周期多目标投资组合选择问题。在不确定性集合为椭圆形的假设下，所提出问题的鲁棒对应项可以转换为标准的多目标优化问题。然后引入加权和方法来获得问题的帕累托前沿。数值例子将说明所提出的方法，并验证所开发模型的有效性和效率。