Chance-constrained programming model for portfolio selection in uncertain environment

DOI10.5539/MAS.V3N10P89zbMATH Open1181.91305OpenAlexW2002477523MaRDI QIDQ3655422FDOQ3655422

Limei Yan

Publication date: 7 January 2010

Published in: Modern Applied Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5539/mas.v3n10p89

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zbMATH Keywords

portfolio selectionoptimistic valueuncertain variablechance-constrained programming modelcrisp equivalent programming model

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic programming (90C15)

Cited In (4)

• Chance-constrained Portfolio Selection with Birandom Returns
• Different Probability Distributions for Portfolio Selection in the Chance Constrained Compromise Programming Model
• An Application of Chance Constrained Programming to Portfolio Selection in a Casualty Insurance Firm
• Title not available (Why is that?)

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