I am looking for qualified examples of multi-objective optimization applied to a portfolio management situation in non-normal markets. Where can I find one or more examples of such a multi-objective optimization, preferable using some kind of R code (e.g., using MCO or other packages) but pen and paper examples are equally welcome, including a discussion of required assumptions, limitations and conditions?

If a full example of the above is not known partial references such as examples assuming normal markets or just a discussion on assumptions or limitations would be helpful.


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