Copyright © 2009 Zhong Wan et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
A new approach was proposed to reformulate the biobjectives optimization
model of portfolio management into an unconstrained minimization problem, where the objective function is a piecewise quadratic polynomial. We presented some properties of such an objective function. Then, a class of penalty algorithms based
on the well-known conjugate gradient methods was developed to find the solution of
portfolio management problem. By implementing the proposed algorithm to solve the
real problems from the stock market in China, it was shown that this algorithm is promising.