Multi-objective probabilistically constrained programs with variable risk: models for multi-portfolio financial optimization

DOI10.1016/j.ejor.2016.01.039zbMath1346.91212OpenAlexW2295394142MaRDI QIDQ322926

Miguel A. Lejeune, Siqian Shen

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2016.01.039

zbMATH Keywords

multi-objective programmingBoolean programmingprobabilistic constraintmulti-portfolio optimizationvariable reliability

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Stochastic programming (90C15) Financial applications of other theories (91G80) Boolean programming (90C09) Portfolio theory (91G10)

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Uses Software

• JBool

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