Fifty years of portfolio optimization
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Cites work
- 60 years of portfolio optimization: practical challenges and current trends
- A cardinality constrained stochastic goal programming model with satisfaction functions for venture capital investment decision making
- A chance constrained recourse approach for the portfolio selection problem
- A dynamic stochastic programming model for international portfolio management
- A hybrid stock trading system using genetic network programming and mean conditional value-at-risk
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- A PROMETHEE-based approach to portfolio selection problems
- A python-based multicriteria portfolio selection DSS
- A Scalable Algorithm for Sparse Portfolio Selection
- Adjustable robustness for multi-attribute project portfolio selection
- Advancements in stochastic dominance efficiency tests
- Algorithm for cardinality-constrained quadratic optimization
- An analytical derivation of the efficient surface in portfolio selection with three criteria
- An integrated decision-making approach for improving European air traffic management
- An MCDM approach to portfolio optimization.
- Asset allocation with correlation: a composite trade-off
- Baseline value specification and sensitivity analysis in multiattribute project portfolio selection
- Coherent measures of risk
- Computation of mean-semivariance efficient sets by the critical line algorithm
- Computationally tractable counterparts of distributionally robust constraints on risk measures
- Computing the nondominated surface in tri-criterion portfolio selection
- Conditional value-at-risk in portfolio optimization: coherent but fragile
- Contingent Portfolio Programming for the Management of Risky Projects
- Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments
- Cost-efficiency analysis of weapon system portfolios
- CUT: A Multicriteria Approach for Concavifiable Preferences
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- DEA frontier improvement and portfolio rebalancing: an application of China mutual funds on considering sustainability information disclosure
- Decision programming for mixed-integer multi-stage optimization under uncertainty
- Distributionally Robust Convex Optimization
- Distributionally robust mean-absolute deviation portfolio optimization using Wasserstein metric
- Distributionally robust optimization and its tractable approximations
- Dominance-based rough set approach to decision under uncertainty and time preference
- DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
- Efficient allocation of resources to a portfolio of decision making units
- Financial portfolio management through the goal programming model: current state-of-the-art
- From stochastic dominance to mean-risk models: Semideviations as risk measures
- General linear formulations of stochastic dominance criteria
- Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function
- Global minimum variance portfolios under uncertainty: a robust optimization approach
- Goal programming with extended factors for portfolio selection
- Heuristic algorithms for the cardinality constrained efficient frontier
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- scientific article; zbMATH DE number 3616126 (Why is no real title available?)
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- Identifying preferred solutions to multi-objective binary optimisation problems, with an application to the multi-objective knapsack problem
- Incomplete risk-preference information in portfolio decision analysis
- Investment Timing Under Incomplete Information
- IPSSIS: an integrated multicriteria decision support system for equity portfolio construction and selection
- Linear and mixed integer programming for portfolio optimization
- LP solvable models for portfolio optimization: a classification and computational comparison
- Markowitz revisited: social portfolio engineering
- Massively parallel processing of recursive multi-period portfolio models
- Mean-variance approximations to expected utility
- Measurable Multiattribute Value Functions
- Measurable multiattribute value functions for portfolio decision analysis
- Model-based organizational decision making: a behavioral lens
- Modeling uncertainty in multi-criteria decision analysis
- Multi-objective decision analysis for competence-oriented project portfolio selection
- Multi-objective stochastic programming for portfolio selection
- Multicriteria decision aid classification methods
- Multicriteria integer programming: A (hybrid) dynamic programming recursive approach
- Multicriteria security evaluation: does it cost to be traditional?
- Multiobjective Programming and Multiattribute Utility Functions in Portfolio Optimization
- Multiple objective decision making - methods and applications. A state- of-the-art survey. In collaboration with Sudhakar R. Paidy and Kwangsun Yoon
- Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules
- Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios
- Non-contour efficient fronts for identifying most preferred portfolios in sustainability investing
- Nonadditive multiattribute utility functions for portfolio decision analysis
- Nonlinear multiobjective optimization
- On selecting portfolio of international mutual funds using goal programming with extended factors
- On the analytical derivation of efficient sets in quad-and-higher criterion portfolio selection
- On the construction of mutual fund portfolios: a multicriteria methodology and an application to the Greek market of equity mutual funds
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Optimal strategies for selecting project portfolios using uncertain value estimates
- Optimization with Stochastic Dominance Constraints
- Parameter-free robust optimization for the maximum-Sharpe portfolio problem
- Pareto ant colony optimization with ILP preprocessing in multiobjective project portfolio selection
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- Portfolio diversification based on stochastic dominance under incomplete probability information
- Portfolio management with heuristic optimization.
- Portfolio optimization in a regime-switching market with derivatives
- Portfolio optimization of financial commodities with energy futures
- Portfolio selection from multiple benchmarks: a goal programming approach to an actual case
- Portfolio selection with exploration of new investment assets
- Portfolio selection with inflation-linked bonds and indexation lags
- Portfolio selection: should investors include crypto‐assets? A multiobjective approach
- Preference disaggregation: 20 years of MCDA experience.
- Preference programming for robust portfolio modeling and project selection
- Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
- Robust multiobjective optimization \& applications in portfolio optimization
- Robust multiobjective portfolio optimization: A minimax regret approach
- Robust optimization approaches for portfolio selection: a comparative analysis
- Robust optimization for interactive multiobjective programming with imprecise information applied to R\&D project portfolio selection
- Robust portfolio decision analysis: an application to the energy research and development portfolio problem
- Robust portfolio modeling with incomplete cost information and project interdependencies
- Robust portfolio optimization: a categorized bibliographic review
- Robust portfolio selection problem under temperature uncertainty
- Robust portfolios: contributions from operations research and finance
- Robust Satisficing
- Robustness of optimal portfolios under risk and stochastic dominance constraints
- Scenario-based portfolio model for building robust and proactive strategies
- Scenario-based portfolio selection of investment projects with incomplete probability and utility information
- Selecting a portfolio of nonhomogeneous R \& D proposals
- Solving group multi-objective optimization problems by optimizing consensus through multi-criteria ordinal classification
- Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection
- Tailor-made thematic portfolios: a core satellite optimization
- The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments
- The use of multi-criteria decision-making methods in project portfolio selection: a literature review and future research directions
- Theory and applications of robust optimization
- Theory of decision under uncertainty
- Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds
- Tri-criterion modeling for constructing more-sustainable mutual funds
- Twenty years of linear programming based portfolio optimization
- Value of information in portfolio selection, with a Taiwan stock market application illustration
- Worst-case conditional value-at-risk with application to robust portfolio management
- Worst-case robust decisions for multi-period mean-variance portfolio optimization
- Worst-case robust Omega ratio
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
Cited in
(8)- Efficient solutions in uncertain multiobjective optimization with countably many scenarios
- Fifty years of decision analysis in operational research: a review
- MCDA strategies for portfolio optimization: a case study on Vietnamese stock market dynamics
- Fifty years at the interface between financial modeling and operations research
- Exploring parsimonious principles that unify active portfolio selection (I): model
- Exploring parsimonious principles that unify active portfolio selection (II): validation
- Litigation finance at trial: model and data
- Network-based online portfolio selection with ESG scores
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