A Bicriteria Approach Identifying Nondominated Portfolios

Algorithm 1

(1) 𝑁₀=Ø,𝐿₁={Ø},𝑛=𝑀𝑀;

(2) for  (𝑘=1,𝑛,𝑘++)  do

(3)  𝐶_𝑘=Candidates(𝐿_𝑘)

(4) 𝐿_𝑘+1={𝑎∈𝐶_𝑘∣|Cov(𝑎)|<|𝑅|}

(5) 𝑁_𝑘={𝑎|∄𝑎^′∈𝑁_𝑘−1∪𝐶_𝑘⧵𝐿_𝑘+1suchthat𝑎^′≻𝑎}

(6) 𝑛=min_{𝑎∈𝑁𝑘}𝜂(𝑎)

(7) end  for