Multi-objective probabilistically constrained programs with variable risk: models for multi-portfolio financial optimization
From MaRDI portal
Publication:322926
DOI10.1016/j.ejor.2016.01.039zbMath1346.91212MaRDI QIDQ322926
Miguel A. Lejeune, Siqian Shen
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
multi-objective programming; Boolean programming; probabilistic constraint; multi-portfolio optimization; variable reliability
90C29: Multi-objective and goal programming
90C15: Stochastic programming
91G80: Financial applications of other theories
90C09: Boolean programming
91G10: Portfolio theory
Related Items
Distributionally Robust Optimization Under a Decision-Dependent Ambiguity Set with Applications to Machine Scheduling and Humanitarian Logistics, Building Load Control Using Distributionally Robust Chance-Constrained Programs with Right-Hand Side Uncertainty and the Risk-Adjustable Variants, Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness, Chance-constrained stochastic programming under variable reliability levels with an application to humanitarian relief network design, Recent advances in the theory and practice of logical analysis of data, 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, Bat algorithm assisted by ordinal optimization for solving discrete probabilistic bicriteria optimization problems, Differential equations connecting VaR and CVaR, Recommendation of investment portfolio for peer-to-peer lending with additional consideration of bidding period, Application of robust optimization for a product portfolio problem using an invasive weed optimization algorithm, Solving Chance-Constrained Optimization Problems with Stochastic Quadratic Inequalities
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Using integer programming for balancing return and risk in problems with individual chance constraints
- Threshold Boolean form for joint probabilistic constraints with random technology matrix
- Nonlinear multiobjective optimization
- Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra
- Multiple criteria optimization: State of the art annotated bibliographic surveys
- Multivariate value at risk and related topics
- Pattern definition of the \(p\)-efficiency concept
- An exact approach for solving integer problems under probabilistic constraints with random technology matrix
- On mixing sets arising in chance-constrained programming
- An Efficient Trajectory Method for Probabilistic Production-Inventory-Distribution Problems
- Computability of global solutions to factorable nonconvex programs: Part I — Convex underestimating problems
- Pattern-Based Modeling and Solution of Probabilistically Constrained Optimization Problems
- A Stochastic Programming Model
- A New Model for Stochastic Linear Programming
- A Reliability Programming Approach to Production Planning
- Concavity and efficient points of discrete distributions in probabilistic programming.
