Multi-criteria optimal stopping methods applied to the portfolio optimisation problem

DOI10.1007/S10479-016-2325-YMaRDI QIDQ1615933zbMATH OpenOpenAlexFDO

Authors Fouad Ben Abdelaziz, Ray Saadaoui Mallek

Publication date 31 October 2018

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-016-2325-y

zbMATH Keywords

multi-criteria analysisoptimal stoppingportfolio management

Mathematics Subject Classification ID

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

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Cites work

• A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
• A multi-attribute extension of the secretary problem: theory and experiments
• A Problem of Optimal Choice and Assignment
• An interactive method for the optimal selection problem with two decision makers
• An Optimal Stopping Problem with Two Decision Makers
• Dynamic Programming and Decision Theory
• scientific article; zbMATH DE number 67283 (Why is no real title available?)
• scientific article; zbMATH DE number 823453 (Why is no real title available?)
• scientific article; zbMATH DE number 3322652 (Why is no real title available?)
• scientific article; zbMATH DE number 3383344 (Why is no real title available?)
• IPSSIS: an integrated multicriteria decision support system for equity portfolio construction and selection
• Multi-attribute sequential decision problem with optimizing and satisficing attributes
• Multi-objective stochastic programming for portfolio selection
• Multicriterial problem of optimum stopping of the selection process
• On the full information best-choice problem
• Optimal selection based on relative rank (the 'Secretary Problem')
• Optimal stopping problems by two or more decision makers: a survey
• The Secretary Problem and Its Extensions: A Review
• Who solved the secretary problem

Cited in

(4)

• Optimal stopping time of a portfolio selection problem with multi-assets
• Pareto efficient buy and hold investment strategies under order book linked constraints
• Alternative optimality criteria of portfolio selection based upon threshold stopping rule
• Balancing energy consumption and thermal comfort in buildings: a multi-criteria framework

Describes a project that uses

Uses Software

• IPSSIS

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