Multi-objective probabilistically constrained programs with variable risk: models for multi-portfolio financial optimization

DOI10.1016/J.EJOR.2016.01.039zbMATH Open1346.91212OpenAlexW2295394142MaRDI QIDQ322926FDOQ322926

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2016.01.039

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zbMATH Keywords

multi-objective programming probabilistic constraint Boolean programming multi-portfolio optimization variable reliability

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Portfolio theory (91G10) Stochastic programming (90C15) Boolean programming (90C09) Financial applications of other theories (91G80)

Cites Work

Nonlinear multiobjective optimization
Multiple criteria optimization: State of the art annotated bibliographic surveys
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Multivariate value at risk and related topics
On mixing sets arising in chance-constrained programming
Computability of global solutions to factorable nonconvex programs: Part I — Convex underestimating problems
Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra
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Concavity and efficient points of discrete distributions in probabilistic programming.
An Efficient Trajectory Method for Probabilistic Production-Inventory-Distribution Problems
Threshold Boolean form for joint probabilistic constraints with random technology matrix
Pattern-based modeling and solution of probabilistically constrained optimization problems
An exact approach for solving integer problems under probabilistic constraints with random technology matrix
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Using integer programming for balancing return and risk in problems with individual chance constraints
A Stochastic Programming Model
A New Model for Stochastic Linear Programming
A Reliability Programming Approach to Production Planning

Cited In (16)

Buy and Hold Golden Strategies in Financial Markets with Frictions and Depth Constraints
Bat algorithm assisted by ordinal optimization for solving discrete probabilistic bicriteria optimization problems
Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints
Cell-and-bound algorithm for chance constrained programs with discrete distributions
A fractional stochastic integer programming problem for reliability-to-stability ratio in forest harvesting
Application of robust optimization for a product portfolio problem using an invasive weed optimization algorithm
Building load control using distributionally robust chance-constrained programs with right-hand side uncertainty and the risk-adjustable variants
Optimization with Multivariate Conditional Value-at-Risk Constraints
Chance-constrained stochastic programming under variable reliability levels with an application to humanitarian relief network design
Differential equations connecting VaR and CVaR
Distributionally Robust Optimization Under a Decision-Dependent Ambiguity Set with Applications to Machine Scheduling and Humanitarian Logistics
Recommendation of investment portfolio for peer-to-peer lending with additional consideration of bidding period
Bi-objective reliability based optimization: an application to investment analysis
Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness
Solving chance-constrained optimization problems with stochastic quadratic inequalities
Recent advances in the theory and practice of logical analysis of data

Uses Software

JBool

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