Multi-objective portfolio optimization model

MaRDI QIDQ3377574zbMATH OpenFDO

Authors Bablu Samanta, Tapan Kumar Roy

Publication date 28 March 2006

zbMATH Keywords

entropyfuzzy mathematical programmingmulti-objective modelportfolio optimization

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Nonlinear programming (90C30) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Portfolio theory (91G10)

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(8)

• On multiobjective optimization in portfolio management
• Revisions of modern portfolio theory optimization model
• Multiobjective portfolio optimization of ARMA-GARCH time series based on experimental designs
• Multi-objective mean-variance-skewness model for portfolio optimization
• Multi-Portfolio Optimization: A Potential Game Approach
• scientific article; zbMATH DE number 6934890 (Why is no real title available?)
• A nonlinear multi objective model for the product portfolio optimization: an integer programming
• Equity portfolio construction and selection using multiobjective mathematical programming

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