resolving a pareto function

[RZoro95]

Hi all, I should solve the following equation on GAMS, making the lamba (λ) vary between 0 and 1, does anyone have an idea of how the code should be written?

max z(λ) = λα*(SC^U- SC)- [(1-λ) *β *(R^U-R) (11)

To obtain a set of solutions on the Pareto frontier the proposed formulation is solved by considering the single-objective problem (11) for different values of the weight λ in [0,1]. A value 0 is selected by decision-makers prioritising the portfolio performance, on the contrary the value 1 is considered when the aim is to reduce risk.

[Anafijafar]

Dear All,
I have issue with my equation say LHS=29.1937 please I need help on how to resolve it

[bussieck]

RZoro95, have a look at the GAMS model at qmeanvar (https://www.gams.com/latest/gamslib_ml/ ... anvar.html) that demonstrates how to solve for extremes of lambda and for points in between for the famous portfolio selection problem.

-Michael