A Recourse Goal Programming Approach for the Portfolio Selection Problem

DOI10.3138/INFOR.50.3.134MaRDI QIDQ6102762zbMATH OpenOpenAlexFDO

Authors Meryem Masmoudi, Fouad Ben Abdelaziz

Publication date 9 May 2023

Published in INFOR: Information Systems and Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3138/infor.50.3.134

zbMATH Keywords

CAPMportfolio selectiongoal programmingbetamultiobjective stochastic programmingrecourse approach

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Recommendations

• A chance constrained recourse approach for the portfolio selection problem
• A multiple stochastic goal programming approach for the agent portfolio selection problem
• scientific article; zbMATH DE number 912674
• Portfolio selection from multiple benchmarks: a goal programming approach to an actual case
• A multiple objective stochastic portfolio selection problem with random beta

Cites work

• L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
• Deterministic Equivalents for Optimizing and Satisficing under Chance Constraints
• Multi-objective stochastic programming for portfolio selection
• Portfolio theory for the recourse certainty equivalent maximizing investor
• Solution approaches for the multiobjective stochastic programming
• Stochastic Programs with Fixed Recourse: The Equivalent Deterministic Program

Cited in

(14)

• scientific article; zbMATH DE number 912674 (Why is no real title available?)
• scientific article; zbMATH DE number 1086977 (Why is no real title available?)
• scientific article; zbMATH DE number 5056704 (Why is no real title available?)
• A chance constrained recourse approach for the portfolio selection problem
• Personalized goal-based investing via multi-stage stochastic goal programming
• Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models
• On Conditional Value-at-Risk Based Goal Programming Portfolio Selection Procedure
• Portfolio Selection with Multiple Time Horizons: A Mean Variance—Stochastic Goal Programming Approach
• A multiple stochastic goal programming approach for the agent portfolio selection problem
• A PROMETHEE-based approach to portfolio selection problems
• A Discrete Stochastic Goal Program for Portfolio Selection: The Case of United Arab Emirates Equity Market
• Selecting Portfolios Given Multiple Eurostoxx-Based Uncertainty Scenarios: A Stochastic Goal Programming Approach from Fuzzy Betas
• Financial portfolio management through the goal programming model: current state-of-the-art
• A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification

This page was built for publication: A Recourse Goal Programming Approach for the Portfolio Selection Problem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6102762)