Portfolio selection problem with interval coefficients

DOI10.1016/S0893-9659(03)00071-5MaRDI QIDQ1431868zbMATH OpenOpenAlexFDO

Authors D. Massart

Publication date 11 June 2004

Published in Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0893-9659(03)00071-5

zbMATH Keywords

Mean-variance analysisMultiple objective problemPortfolio selectionRobust solution

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 4085440 (Why is no real title available?)
• scientific article; zbMATH DE number 1480151 (Why is no real title available?)
• Linear Multiple Objective Problems with Interval Coefficients
• Possible and necessary efficiency in possibilistic multiobjective linear programming problems and possible efficiency test

Cited in

(28)

• Portfolio selection under possibilistic mean-variance utility and a SMO algorithm
• Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models
• Stochastic programming technique for portfolio optimization with minimax risk and bounded parameters
• Multiobjective efficient portfolio selection with bounded parameters
• Complexity of necessary efficiency in interval linear programming and multiobjective linear programming
• A nonlinear interval portfolio selection model and its application in banks
• Fuzzy costs in quadratic programming problems
• On interval portfolio selection problem
• Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
• Solutions for the portfolio selection problem with interval and fuzzy coefficients
• Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis
• Pricing and hedging in a single period market with random interval valued assets
• Portfolio rebalancing model with transaction costs using interval optimization
• The Karush-Kuhn-Tucker optimality conditions in multiobjective programming problems with interval-valued objective functions
• Duality and saddle-point type optimality for interval-valued programming
• An interval portfolio selection problem based on regret function
• A multiobjective optimization framework for optimal selection of supplier portfolio
• Minimax regret solution to multiobjective linear programming problems with interval objective functions coefficients
• Interval-Valued Goal Programming Method to Solve Patrol Manpower Planning Problem for Road Traffic Management Using Genetic Algorithm
• On sufficiency and duality for a class of interval-valued programming problems
• Multi-period cardinality constrained portfolio selection models with interval coefficients
• Evolutionary technique based goal programming approach to chance constrained interval valued bilevel programming problems
• Portfolio selection: should investors include crypto‐assets? A multiobjective approach
• Interval variational inequalities and their relationship with interval optimization problems
• Fuzzy mean-variance-skewness portfolio selection models by interval analysis
• Optimality conditions and duality for mathematical programming with equilibrium constraints including multiple interval-valued objective functions on Hadamard manifolds
• Epsilon-subdifferentiability for interval-valued functions and its application in interval optimization problems
• Multiple objective linear programming models with interval coefficients -- an illustrated overview

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