A multiple objective stochastic portfolio selection problem with random beta

DOI10.1111/ITOR.12037MaRDI QIDQ5246810zbMATH OpenOpenAlexFDO

Authors Fouad Ben Abdelaziz, Meryem Masmoudi

Publication date 22 April 2015

Published in International Transactions in Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/itor.12037

zbMATH Keywords

risk measuresportfolio selectionbetastochastic goal programmingmultiple objective stochastic programming

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Portfolio theory (91G10) Stochastic programming (90C15)

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Cites work

• scientific article; zbMATH DE number 5051698 (Why is no real title available?)
• A portfolio optimization model with three objectives and discrete variables
• An extension of Sharpe's single-index model: portfolio selection with expert betas
• Common stock portfolio selection: a multiple criteria decision making methodology and an application to the Athens stock exchange
• Multi-objective stochastic programming for portfolio selection
• Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection
• Why the variance?

Cited in

(14)

• A Recourse Goal Programming Approach for the Portfolio Selection Problem
• A multiobjective optimization model for selecting portfolios in emerging financial markets under uncertainty
• Multi-stage stochastic model in portfolio selection problem
• Multi-objective stochastic programming for portfolio selection
• Goal programming with extended factors for portfolio selection
• Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models
• Robust optimization approaches for portfolio selection: a comparative analysis
• Portfolio selection: should investors include crypto‐assets? A multiobjective approach
• From scenarios to conditional scenarios in two‐stage stochastic MILP problems
• A multiple stochastic goal programming approach for the agent portfolio selection problem
• On constructing expert Betas for single-index model
• Portfolio selection to achieve a target beta
• scientific article; zbMATH DE number 1784068 (Why is no real title available?)
• Risk-controlled multiobjective portfolio selection problem using a principle of compromise

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