A multiobjective portfolio optimization for energy assets using D-Optimal design and mixture design of experiments

Abstract

Portfolio optimization is a term that can be understood as a problem whose main object is to encounter the most appropriate way to allocate the assets so that maximum returns and the smallest variability can be obtained (Garg & Deep, 2019). Markowitz first introduced the mean variance model in which the risk of the model is defined as the variance of the returns and nowadays many optimization portfolio studies are encountered in the literature (