A multiple stochastic goal programming approach for the agent portfolio selection problem

DOI10.1007/s10479-015-1884-7zbMath1370.90164OpenAlexW340849822WikidataQ59284894 ScholiaQ59284894MaRDI QIDQ2404340

Hatem Masri

Publication date: 18 September 2017

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

Full work available at URL: https://doi.org/10.1007/s10479-015-1884-7

zbMATH Keywords

stochastic goal programmingportfolio selection problemchance constrained approachmulti-objective stochastic programmingrecourse approach

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Stochastic programming (90C15)

Related Items (5)

Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models ⋮ Multiobjective portfolio optimization: bridging mathematical theory with asset management practice ⋮ Pareto efficient buy and hold investment strategies under order book linked constraints ⋮ Bi-objective mean–variance method based on Chebyshev inequality bounds for multi-objective stochastic problems ⋮ Equilibrium reinsurance-investment strategies with partial information and common shock dependence

Cites Work

• Portfolio insurance: gap risk under conditional multiples
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• Decision-maker's preferences modeling in the stochastic goal programming
• Multi-objective stochastic programming for portfolio selection
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• Efficient model for interval goal programming with arbitrary penalty function
• Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming
• Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection
• Financial portfolio management through the goal programming model: current state-of-the-art
• Chance-Constrained Programming
• Incorporating the Decision-maker's Preferences in the Goal-programming Model
• A fuzzy goal programming approach to portfolio selection
• A Recourse Goal Programming Approach for the Portfolio Selection Problem
• Multi-Attribute Portfolio Selection: New Perspectives

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