A multiple objective stochastic portfolio selection problem with random Beta

DOI10.1111/itor.12037zbMath1309.90068OpenAlexW2094352945MaRDI QIDQ5246810

Meryem Masmoudi, Fouad Ben Abdelaziz

Publication date: 22 April 2015

Published in: International Transactions in Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/itor.12037

zbMATH Keywords

stochastic goal programmingrisk measuresportfolio selectionbetamultiple objective stochastic programming

Mathematics Subject Classification ID

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

Related Items (4)

Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models ⋮ From scenarios to conditional scenarios in two‐stage stochastic MILP problems ⋮ Portfolio selection: should investors include crypto‐assets? A multiobjective approach ⋮ Goal programming with extended factors for portfolio selection

Cites Work

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• Common stock portfolio selection: a multiple criteria decision making methodology and an application to the Athens stock exchange
• Multi-objective stochastic programming for portfolio selection
• Why the variance?
• Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection
• A portfolio optimization model with three objectives and discrete variables
• An extension of Sharpe's single-index model: portfolio selection with expert betas

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