...Carla Henriques; Elisabete Neves Purpose This paper aims to explore the trade-off between liquidity, risk and return under sectoral diversification across distinct economic settings and investment strategies. Design/methodology/approach A novel multi-objective portfolio model is proposed...

.... Originality/value – The paper at hand provides a unique structured approach on how to perform a multivariate cluster analysis of a credit portfolio by considering risk and return simultaneously. In this context, this procedure serves as a guidance on how to conduct a cluster analysis of a credit portfolio...