Mean-risk models using two risk measures: a multi-objective approach
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Cites work
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- From stochastic dominance to mean-risk models: Semideviations as risk measures
- Multiple criteria decision making combined with finance: a categorized bibliographic study.
- Multiple criteria linear programming model for portfolio selection
- On a Bicriterion Formulation of the Problems of Integrated System Identification and System Optimization
- Some characterizations of the optimal solutions of a vector optimization problem
- The penalty interior-point method fails to converge
Cited in
(45)- Risk preference modeling with conditional average: An application to portfolio optimization
- Financial analysis based sectoral portfolio optimization under second order stochastic dominance
- Mean-variance-CVaR model of multiportfolio optimization via linear weighted sum method
- Index tracking and enhanced indexing using mixed conditional value-at-risk
- An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
- Optimizing 3-objective portfolio selection with equality constraints and analyzing the effect of varying constraints on the efficient sets
- Interval-based stochastic dominance: theoretical framework and application to portfolio choices
- Influence of non-Gaussian noise on the coherent feed-forward loop with time delay
- Fuzzy multi-objective portfolio model based on semi-variance--semi-absolute deviation risk measures
- A new higher moment portfolio optimisation model with conditional value at risk
- Portfolio selection with skewness: a comparison of methods and a generalized one fund result
- Some new results on value ranges of risks for mean-variance portfolio models
- Twenty years of linear programming based portfolio optimization
- Mean-value at risk portfolio efficiency: approaches based on data envelopment analysis models with negative data and their empirical behaviour
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- An integrated approach for stock evaluation and portfolio optimization
- The multi-objective portfolio model based on CVaR
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- scientific article; zbMATH DE number 5812404 (Why is no real title available?)
- Portfolio construction on the Athens stock exchange: a multiobjective optimization approach
- Portfolio risk management with CVaR-like constraints
- Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
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- Downside risk approach for multi-objective portfolio optimization
- Comparative issues between linear and non-linear risk measures for non-convex portfolio optimization: evidence from the S&P 500
- Extended omega ratio optimization for risk-averse investors
- The mixture of risk measurement model based on portfolio investment
- scientific article; zbMATH DE number 2217626 (Why is no real title available?)
- Portfolio selection with a minimax measure in safety constraint
- Bounds for portfolio weights in decentralized asset allocation
- Stochastic multi-objective optimization: a survey on non-scalarizing methods
- Mean-variance-VaR portfolios: MIQP formulation and performance analysis
- Interactive Socially Responsible Portfolio Selection: An Application to the Spanish Stock Market
- Processing second-order stochastic dominance models using cutting-plane representations
- A penalty decomposition algorithm for the extended mean-variance-CVaR portfolio optimization problem
- Managing ESG ratings disagreement in sustainable portfolio selection
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- Comments on ``A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
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