A stochastic programming approach to multicriteria portfolio optimization
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Publication:377738
DOI10.1007/S10898-012-0005-2zbMATH Open1318.91188OpenAlexW2089107212MaRDI QIDQ377738FDOQ377738
Authors: Ceren Tuncer Şakar, Murat Köksalan 
Publication date: 7 November 2013
Published in: Journal of Global Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10898-012-0005-2
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portfolio optimizationstochastic programmingconditional value at riskliquiditymulticriteriamarket efficiency
Multi-objective and goal programming (90C29) Portfolio theory (91G10) Stochastic programming (90C15)
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Cited In (15)
- Multi-criteria optimal stopping methods applied to the portfolio optimisation problem
- Multi-objective stochastic programming for portfolio selection
- Multi-period stochastic portfolio optimization: block-separable decomposition
- Stochastic programming technique for portfolio optimization with minimax risk and bounded parameters
- Interactive Socially Responsible Portfolio Selection: An Application to the Spanish Stock Market
- A dynamic stochastic programming model for international portfolio management
- Portfolio management within the frame of multiobjective mathematical programming: a categorised bibliographic study
- A multiple stochastic goal programming approach for the agent portfolio selection problem
- An interactive approach to stochastic programming-based portfolio optimization
- Scenario generation in stochastic programming using principal component analysis based on moment-matching approach
- Title not available (Why is that?)
- A multistage stochastic programming framework for cardinality constrained portfolio optimization
- Multiperiod portfolio investment using stochastic programming with conditional value at risk
- A stochastic dynamic programming approach based on bounded rationality and application to dynamic portfolio choice
- A class of stochastic optimization problems with one quadratic \& several linear objective functions and extended portfolio selection model
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