Optimal Programming Models for Portfolio Selection with Uncertain Chance Constraint

DOI10.5539/MAS.V3N9P84MaRDI QIDQ3185234zbMATH OpenOpenAlexFDO

Authors Limei Yan

Publication date 26 October 2009

Published in Modern Applied Science (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://semanticscholar.org/paper/f422cd9e559722b6cf72da56746a2baff81598f5

zbMATH Keywords

chance constraincrisp equivalent programmingportfolio selectionuncertain variable

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10)

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(14)

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• A CHANCE-CONSTRAINED PORTFOLIO SELECTION PROBLEM UNDER t-DISTRIBUTION
• Chance-constrained programming model for portfolio selection in uncertain environment
• Uncertain mean-chance portfolio selection with real constraints
• A chance-constrained approach to stock selection in Hong Kong
• An efficient dynamic model for solving a portfolio selection with uncertain chance constraint models
• A Stochastic Programming Model with Decision Dependent Uncertainty Realizations for Technology Portfolio Management
• An Application of Chance Constrained Programming to Portfolio Selection in a Casualty Insurance Firm
• Different Probability Distributions for Portfolio Selection in the Chance Constrained Compromise Programming Model
• Probability maximization models for portfolio selection under ambiguity
• A chance-constrained portfolio selection model with risk constraints

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