A chance-constrained approach to stock selection in Hong Kong

DOI10.1080/00207729608929187MaRDI QIDQ4879299zbMATH OpenOpenAlexFDO

Authors

Publication date 27 May 1996

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207729608929187

zbMATH Keywords

chance-constrained programmingMarkowitz model

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic programming (90C15)

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Cited in

(2)

• An Application of Chance Constrained Programming to Portfolio Selection in a Casualty Insurance Firm
• Option portfolio management as a chance constrained problem

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