Multiple criteria linear programming model for portfolio selection
From MaRDI portal
Publication:1593560
DOI10.1023/A:1018980308807zbMath0961.91021OpenAlexW2083951501MaRDI QIDQ1593560
Publication date: 17 January 2001
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1018980308807
Related Items (51)
On the robustness of portfolio allocation under copula misspecification ⋮ Multiobjective portfolio optimization: bridging mathematical theory with asset management practice ⋮ Equitable aggregations and multiple criteria analysis ⋮ Optimizing over the properly efficient set of convex multi-objective optimization problems ⋮ Mixed value-at-risk and its numerical investigation ⋮ Common stock portfolio selection: a multiple criteria decision making methodology and an application to the Athens stock exchange ⋮ An integrated approach for stock evaluation and portfolio optimization ⋮ A new multi-criteria scenario-based solution approach for stochastic forward/reverse supply chain network design ⋮ Portfolio optimization of financial commodities with energy futures ⋮ Goal-based investing based on multi-stage robust portfolio optimization ⋮ Randomly generating portfolio-selection covariance matrices with specified distributional characteristics ⋮ Multi-objective stochastic programming for portfolio selection ⋮ A two-asset stochastic model for long-term portfolio selection ⋮ Robust Decisions under Risk for Imprecise Probabilities ⋮ Multicriteria decision systems for financial problems ⋮ Comparison of the multicriteria decision-making methods for equity portfolio selection: the U.S. evidence ⋮ Advancing equitability in multiobjective programming ⋮ A Portfolio Selection Methodology Based on Data Envelopment Analysis ⋮ Interactive Socially Responsible Portfolio Selection: An Application to the Spanish Stock Market ⋮ Generalized equitable preference in multiobjective programming ⋮ On Decision Support Under Risk by the WOWA Optimization ⋮ Portfolio Choice Models Based on Second-Order Stochastic Dominance Measures: An Overview and a Computational Study ⋮ Processing second-order stochastic dominance models using cutting-plane representations ⋮ Lorenz dominance based algorithms to solve a practical multiobjective problem ⋮ Fuzzy random regression based multi-attribute evaluation and its application to oil palm fruit grading ⋮ Linear programming and its application techniques in optimizing portfolio selection of a firm ⋮ Portfolio optimization with \(pw\)-robustness ⋮ Index tracking and enhanced indexing using mixed conditional value-at-risk ⋮ Multi-criteria decision making for choosing socially responsible investment within a behavioral portfolio theory framework: a new way of investing into a crisis environment ⋮ Efficient optimization of the reward-risk ratio with polyhedral risk measures ⋮ Generalisation of A-equitable preference in multiobjective optimisation problems ⋮ A unified approach to uncertain optimization ⋮ Conditional value at risk and related linear programming models for portfolio optimization ⋮ Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection ⋮ On efficient WOWA optimization for decision support under risk ⋮ Tail mean and related robust solution concepts ⋮ Mean-risk models using two risk measures: a multi-objective approach ⋮ Downside Risk Approach for Multi-Objective Portfolio Optimization ⋮ Equity portfolio construction and selection using multiobjective mathematical programming ⋮ Portfolio construction based on stochastic dominance and target return distributions ⋮ Piecewise equitable efficiency in multiobjective programming ⋮ Risk management strategies via minimax portfolio optimization ⋮ Portfolio construction on the Athens Stock Exchange: a multiobjective optimization approach ⋮ Twenty years of linear programming based portfolio optimization ⋮ An exact algorithm for factor model in portfolio selection with roundlot constraints ⋮ ON DUAL APPROACHES TO EFFICIENT OPTIMIZATION OF LP COMPUTABLE RISK MEASURES FOR PORTFOLIO SELECTION ⋮ On solving linear programs with the ordered weighted averaging objective. ⋮ OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION ⋮ Comparative issues between linear and non-linear risk measures for non-convex portfolio optimization: evidence from the S&P 500 ⋮ On multiobjective combinatorial optimization and dynamic interim hedging of efficient portfolios ⋮ Threshold accepting heuristic for fair flow optimization in wireless mesh networks
This page was built for publication: Multiple criteria linear programming model for portfolio selection
