Probability maximization models for portfolio selection under ambiguity

DOI10.1007/s10100-008-0082-yzbMath1204.91121MaRDI QIDQ623758

Takashi Hasuike, Hiroaki Ishii

Publication date: 8 February 2011

Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10100-008-0082-y

zbMATH Keywords

stochastic programming; portfolio selection problem; multi-scenario model; probability maximization model

Mathematics Subject Classification ID

90C15: Stochastic programming

91G10: Portfolio theory

Related Items

On some optimisation models in a fuzzy-stochastic environment

Cites Work

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