Multi-objective stochastic programming for portfolio selection
From MaRDI portal
Recommendations
- A stochastic programming approach to multicriteria portfolio optimization
- Portfolio selection using multistage stochastic programming
- Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models
- A stochastic programming approach for multi-period portfolio optimization
- Multi-stage stochastic linear programs for portfolio optimization
- Multiobjective Programming and Multiattribute Utility Functions in Portfolio Optimization
- A multiple stochastic goal programming approach for the agent portfolio selection problem
- Multiobjective efficient portfolio selection with bounded parameters
- A multiple objective stochastic portfolio selection problem with random beta
- On multiobjective optimization in portfolio management
Cites work
- scientific article; zbMATH DE number 3175708 (Why is no real title available?)
- scientific article; zbMATH DE number 3945836 (Why is no real title available?)
- scientific article; zbMATH DE number 44382 (Why is no real title available?)
- scientific article; zbMATH DE number 1233792 (Why is no real title available?)
- scientific article; zbMATH DE number 772850 (Why is no real title available?)
- scientific article; zbMATH DE number 912674 (Why is no real title available?)
- Application of goal programming in a multi-objective reservoir operation model in Tunisia
- Approximate portfolio analysis
- Chance-constrained programming
- Decision-maker's preferences modeling in the stochastic goal programming
- Deterministic Equivalents for Optimizing and Satisficing under Chance Constraints
- Distributional efficiency in multiobjective stochastic linear programming
- Dominance and efficiency in multicriteria decision under uncertainty
- Multiple criteria decision making combined with finance: a categorized bibliographic study.
- Multiple criteria decision making, 22nd International Meeting of TIMS, July 24--26, 1975, Kyoto/Japan
- Multiple criteria linear programming model for portfolio selection
- Optimal estimation of executive compensation by linear programming
- Portfolio Selection: A Compromise Programming Solution
- Stochastic Dominance and Expected Utility: Survey and Analysis
- Stochastic goal programming: A mean-variance approach
- The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments
Cited in
(95)- Risk management for international portfolios with basket options: A multi-stage stochastic programming approach
- Cost-efficient equitable water distribution in Algeria: a bicriteria fair division problem with network constraints
- A Recourse Goal Programming Approach for the Portfolio Selection Problem
- An incremental-hybrid-Yager's entropy model for dynamic portfolio selection with fuzzy variable
- Multi-Attribute Portfolio Selection: New Perspectives
- A stochastic goal programming model to derive stable cash management policies
- Goal programming models for managerial strategic decision making
- A generalized stochastic goal programming model
- A cardinality constrained stochastic goal programming model with satisfaction functions for venture capital investment decision making
- Portfolio optimization based on downside risk: a mean-semivariance efficient frontier from Dow Jones blue chips
- Portfolio optimization under partial uncertainty and incomplete information: a probability multimeasure-based approach
- Multi-criteria optimal stopping methods applied to the portfolio optimisation problem
- 2-phase NSGA II: an optimized reward and risk measurements algorithm in portfolio optimization
- Mixed Tabu machine for portfolio optimization problem
- Portfolio selection from multiple benchmarks: a goal programming approach to an actual case
- Stochastic multi-objective optimization: a survey on non-scalarizing methods
- An approach to find redundant objective function(s) and redundant constraint(s) in multi-objective nonlinear stochastic fractional programming problems
- Minimax mean-variance models for fuzzy portfolio selection
- Operations research/management science in the Arab world: Historical development
- Comonotonic approximation to periodic investment problems under stochastic drift
- A provisioning problem with stochastic payments
- A Fuzzy Goal Programming Model for Venture Capital Investment Decision Making
- Bi-objective mean–variance method based on Chebyshev inequality bounds for multi-objective stochastic problems
- Portfolio selection using \(\lambda\) mean and hybrid entropy
- Selecting the optimum portfolio using fuzzy compromise programming and Sharpe's single-index model
- Robust optimization for interactive multiobjective programming with imprecise information applied to R\&D project portfolio selection
- Goal programming model applied to waste paper logistics processes
- Accounting for cost heterogeneity on the demand in the context of a technician dispatching problem
- Different Probability Distributions for Portfolio Selection in the Chance Constrained Compromise Programming Model
- A chance constrained recourse approach for the portfolio selection problem
- An analytical derivation of the efficient surface in portfolio selection with three criteria
- Mean-variance models for portfolio selection with fuzzy random returns
- Personalized goal-based investing via multi-stage stochastic goal programming
- Enhancement of equity portfolio performance using data envelopment analysis
- On the use of multiple criteria distance indexes to find robust cash management policies
- 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
- Tri-criterion modeling for constructing more-sustainable mutual funds
- Multi-criteria decision analysis with goal programming in engineering, management and social sciences: a state-of-the art review
- Probability maximization models for portfolio selection under ambiguity
- Interactive Socially Responsible Portfolio Selection: An Application to the Spanish Stock Market
- A fuzzy-robust stochastic multiobjective programming approach for petroleum waste management planning
- Multicriteria decision systems for financial problems
- Collaborative production planning of supply chain under price and demand uncertainty
- Solution approaches for the multiobjective stochastic programming
- Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
- A note on a minimax rule for portfolio selection and equilibrium price system
- A multiple objective stochastic portfolio selection problem with random beta
- Satisfactory solution concepts and their relations for stochastic multiobjective programming problems
- A synchronous reference point-based interactive method for stochastic multiobjective programming
- A participatory budget model under uncertainty
- Multi-objective probabilistically constrained programs with variable risk: models for multi-portfolio financial optimization
- Value of information in portfolio selection, with a Taiwan stock market application illustration
- Goal-based investing based on multi-stage robust portfolio optimization
- On the analytical derivation of efficient sets in quad-and-higher criterion portfolio selection
- An algorithm for binary linear chance-constrained problems using IIS
- Fuzzy goal programming technique for multi-objective indefinite quadratic bilevel programming problem
- Multi-criteria decision making for choosing socially responsible investment within a behavioral portfolio theory framework: a new way of investing into a crisis environment
- A data efficient and feasible level set method for stochastic convex optimization with expectation constraints
- Optimal reinsurance design for Pareto optimum: from the perspective of multiple reinsurers
- A Portfolio Selection Methodology Based on Data Envelopment Analysis
- Portfolio management within the frame of multiobjective mathematical programming: a categorised bibliographic study
- A multiple stochastic goal programming approach for the agent portfolio selection problem
- An interactive approach to stochastic programming-based portfolio optimization
- On multiobjective optimization in portfolio management
- Safety first portfolio choice based on financial and sustainability returns
- A stochastic programming approach to multicriteria portfolio optimization
- A risk index model for portfolio selection with returns subject to experts' estimations
- Stock portfolio selection using aspiration level-oriented procedure: real case on the RM-SYSTEM Czech stock exchange
- A robust multiobjective mathematical model optimizing stock portfolio
- Dotted Representations of Mean-Variance Efficient Frontiers and their Computation
- Comparison of the multicriteria decision-making methods for equity portfolio selection: the U.S. evidence
- A new perspective for optimal portfolio selection with random fuzzy returns
- Pareto uncertainty index for evaluating and comparing solutions for stochastic multiple objective problems
- Options strategies for international portfolios with overall risk management via multi-stage stochastic programming
- Multi-objective optimization in uncertain random environments
- Optimal chance-constrained pension fund management through dynamic stochastic control
- Risk-averse multi-stage stochastic optimization for surveillance and operations planning of a forest insect infestation
- Equilibrium reinsurance-investment strategies with partial information and common shock dependence
- A Discrete Stochastic Goal Program for Portfolio Selection: The Case of United Arab Emirates Equity Market
- Selecting Portfolios Given Multiple Eurostoxx-Based Uncertainty Scenarios: A Stochastic Goal Programming Approach from Fuzzy Betas
- A new decision-making method for stock portfolio selection based on computing with linguistic assessment
- International portfolio choice and political instability risk: a multi-objective approach
- Mean-risk model for uncertain portfolio selection
- Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds
- A new portfolio selection model with interval-typed random variables and the empirical analysis
- scientific article; zbMATH DE number 6934890 (Why is no real title available?)
- Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming
- Financial portfolio management through the goal programming model: current state-of-the-art
- A stochastic biomass blending problem in decentralized supply chains
- A compromise solution for the multiobjective stochastic linear programming under partial uncertainty
- Fuzzy chance-constrained goal programming model for multi-attribute financial portfolio selection
- A fuzzy portfolio selection method based on possibilistic mean and variance
- Risk-controlled multiobjective portfolio selection problem using a principle of compromise
This page was built for publication: Multi-objective stochastic programming for portfolio selection
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q857322)