A Bicriteria Approach Identifying Nondominated Portfolios

Algorithm 2

Function candidates (𝐶_𝑘).

(1) 𝐿=Ø

(2) for  𝑎∈𝐶_𝑘  do

(3) 𝑎=𝑎∪{𝑝_𝑘}

(4) if  𝜂(𝑎)≤𝜂  then

(5)        𝐿=𝐿∪{𝑎}

(6) end if

(7) end  for

(8) Return𝐿