Multiobjective efficient portfolio selection with bounded parameters

DOI10.1007/S13369-018-3077-6MaRDI QIDQ1640634zbMATH OpenOpenAlexWikidataFDO

Authors U. C. Gupta, Pankaj Kumar, Geetanjali Panda

Publication date 14 June 2018

Published in Arabian Journal for Science and Engineering (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13369-018-3077-6

zbMATH Keywords

partial orderportfolio selectioninterval optimizationmultiobjective programmingliquidity

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Portfolio theory (91G10) Financial applications of other theories (91G80)

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Cites work

• A class of possibilistic portfolio selection model with interval coefficients and its application
• A multi-stage multi criteria model for portfolio management
• A portfolio optimization model with three objectives and discrete variables
• An MCDM approach to portfolio optimization.
• An interval linear programming approach for portfolio selection model
• An interval portfolio selection problem based on regret function
• Asset portfolio optimization using fuzzy mathematical programming
• Efficient portfolio for interval Sharpe ratio model
• Heuristic algorithms for the portfolio selection problem with minimum transaction lots
• Multi-objective portfolio optimization considering the dependence structure of asset returns
• On interval portfolio selection problem
• Portfolio optimization with an envelope-based multi-objective evolutionary algorithm
• Portfolio rebalancing model using multiple criteria
• Portfolio rebalancing model with transaction costs based on fuzzy decision theory
• Portfolio rebalancing model with transaction costs using interval optimization
• Portfolio selection problem with interval coefficients
• Solving multi-objective portfolio optimization problem for Saudi Arabia stock market using hybrid clonal selection and particle swarm optimization
• Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection
• The mean-absolute deviation portfolio selection problem with interval-valued returns

Cited in

(7)

• Multi-objective stochastic programming for portfolio selection
• Multi-objective optimization problem with bounded parameters
• An efficient solution of nonlinear enhanced interval optimization problems and its application to portfolio optimization
• Multi-objective enhanced interval optimization problem
• On multiobjective optimization in portfolio management
• Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis
• scientific article; zbMATH DE number 6934890 (Why is no real title available?)

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