Fuzzy chance-constrained goal programming model for multi-attribute financial portfolio selection

DOI10.1007/S10479-015-1937-YMaRDI QIDQ2404342zbMATH OpenOpenAlexFDO

Authors Laila Messaoudi, Belaïd Aouni, Abdelwaheb Rebaï

Publication date 18 September 2017

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-015-1937-y

zbMATH Keywords

fuzzy goal programmingportfolio selectionstochastic programmingfuzzy preferences

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Portfolio theory (91G10) Stochastic programming (90C15) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70)

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Cites work

• scientific article; zbMATH DE number 912674 (Why is no real title available?)
• A Discrete Stochastic Goal Program for Portfolio Selection: The Case of United Arab Emirates Equity Market
• A fuzzy goal programming approach to portfolio selection
• A goal programming procedure for fuzzy multiobjective linear fractional programming problem.
• A multicriteria evaluation of methods for obtaining weights from ratio- scale matrices
• A review of goal programming and its applications
• Decision-maker's preferences modeling in the stochastic goal programming
• Financial portfolio management through the goal programming model: current state-of-the-art
• Fuzzy preference orderings in group decision making
• Fuzzy programming and linear programming with several objective functions
• Fuzzy programming approach to multi-objective stochastic linear programming problems
• Goal programming models for obtaining the priority vector of incomplete fuzzy preference relation
• Multi-Attribute Portfolio Selection: New Perspectives
• Multi-objective stochastic programming for portfolio selection
• Normalizing rank aggregation method for priority of a fuzzy preference relation and its effectiveness

Cited in

(12)

• A hybrid FA-SA algorithm for fuzzy portfolio selection with transaction costs
• Improving the performance of evolutionary algorithms: a new approach utilizing information from the evolutionary process and its application to the fuzzy portfolio optimization problem
• Fuzzy portfolio selection with non-financial goals: exploring the efficient frontier
• Gradually tolerant constraint method for fuzzy portfolio based on possibility theory
• A fuzzy robust programming approach to multi-objective portfolio optimisation problem under uncertainty
• Multiobjective portfolio optimization: bridging mathematical theory with asset management practice
• A stochastic soft constraints fuzzy model for a portfolio selection problem
• Techniques to model uncertain input data of multi‐criteria decision‐making problems: a literature review
• A model for solving incompatible fuzzy goal programming: an application to portfolio selection
• A class of chance constrained multi-objective portfolio selection model under fuzzy random environment
• A Fuzzy Goal Programming Model for Venture Capital Investment Decision Making
• Multiobjective credibilistic portfolio selection model with fuzzy chance-constraints

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