Chance-constrained programming model for portfolio selection in uncertain environment

DOI10.5539/MAS.V3N10P89MaRDI QIDQ3655422zbMATH OpenOpenAlexFDO

Authors Limei Yan

Publication date 7 January 2010

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

Copyright license Creative Commons Attribution 4.0 International

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

zbMATH Keywords

portfolio selectionoptimistic valueuncertain variablechance-constrained programming modelcrisp equivalent programming model

Mathematics Subject Classification ID

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

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Cited in

(18)

• Uncertain mean-chance portfolio selection with real constraints
• Chance-constrained Portfolio Selection with Birandom Returns
• Optimal Programming Models for Portfolio Selection with Uncertain Chance Constraint
• Uncertain programming models for portfolio selection with uncertain returns
• Uncertain decision making and its application to portfolio selection problem
• Applying a credibilistic mean-variance model in constructing portfolio of mutual funds
• Different Probability Distributions for Portfolio Selection in the Chance Constrained Compromise Programming Model
• A chance constrained recourse approach for the portfolio selection problem
• Mean-chance model for portfolio selection based on uncertain measure
• Modeling of linear uncertain portfolio selection with uncertain constraint and risk index
• Stochastic portfolio selection problem with reliability criteria
• A novel algorithm for uncertain portfolio selection
• An Application of Chance Constrained Programming to Portfolio Selection in a Casualty Insurance Firm
• Optimal portfolio selection models with uncertain returns
• Portfolio selection with second order uncertain dominance constraint
• An efficient dynamic model for solving a portfolio selection with uncertain chance constraint models
• A chance-constrained portfolio selection model with risk constraints
• Fuzzy chance-constrained goal programming model for multi-attribute financial portfolio selection

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