A stochastic programming approach to multicriteria portfolio optimization
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Cites work
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- A new method for mean-variance portfolio optimization with cardinality constraints
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- Common risk factors in the returns on stocks and bonds
- Computational Science - ICCS 2004
- Extending the MAD portfolio optimization model to incorporate downside risk aversion
- Generating scenario trees for multistage decision problems
- Heuristics for cardinality constrained portfolio optimization
- scientific article; zbMATH DE number 3115465 (Why is no real title available?)
- scientific article; zbMATH DE number 1250597 (Why is no real title available?)
- scientific article; zbMATH DE number 1784660 (Why is no real title available?)
- Linear programming under uncertainty
- Multi-objective stochastic programming for portfolio selection
- On a Bicriterion Formulation of the Problems of Integrated System Identification and System Optimization
- On the effectiveness of scenario generation techniques in single-period portfolio optimization
- PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION
- Robust scenario optimization based on downside-risk measure for multi-period portfolio selection
- Scenarios for multistage stochastic programs
- Stochastic programming models in financial optimization: a survey
- Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection
Cited in
(16)- Multi-criteria optimal stopping methods applied to the portfolio optimisation problem
- Stochastic programming technique for portfolio optimization with minimax risk and bounded parameters
- Multiperiod portfolio investment using stochastic programming with conditional value at risk
- Scenario generation in stochastic programming using principal component analysis based on moment-matching approach
- A stochastic dynamic programming approach based on bounded rationality and application to dynamic portfolio choice
- A multistage stochastic programming framework for cardinality constrained portfolio optimization
- A multiple stochastic goal programming approach for the agent portfolio selection problem
- A dynamic stochastic programming model for international portfolio management
- Multi-period stochastic portfolio optimization: block-separable decomposition
- An interactive approach to stochastic programming-based portfolio optimization
- scientific article; zbMATH DE number 6934890 (Why is no real title available?)
- Interactive Socially Responsible Portfolio Selection: An Application to the Spanish Stock Market
- A class of stochastic optimization problems with one quadratic \& several linear objective functions and extended portfolio selection model
- Fifty years of multi-objective optimization and decision-making: from mathematical programming to evolutionary computation
- Multi-objective stochastic programming for portfolio selection
- Portfolio management within the frame of multiobjective mathematical programming: a categorised bibliographic study
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