A stochastic programming approach to multicriteria portfolio optimization

DOI10.1007/s10898-012-0005-2zbMath1318.91188OpenAlexW2089107212MaRDI QIDQ377738

Ceren Tuncer Şakar, Murat M. 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

zbMATH Keywords

stochastic programmingportfolio optimizationmarket efficiencyliquidityconditional value at riskmulticriteria

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Stochastic programming (90C15) Portfolio theory (91G10)

Related Items (4)

An interactive approach to stochastic programming-based portfolio optimization ⋮ A multistage stochastic programming framework for cardinality constrained portfolio optimization ⋮ Interactive Socially Responsible Portfolio Selection: An Application to the Spanish Stock Market ⋮ Scenario generation in stochastic programming using principal component analysis based on moment-matching approach

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