A Recourse Goal Programming Approach for the Portfolio Selection Problem
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Publication:6102762
DOI10.3138/infor.50.3.134OpenAlexW2022952894MaRDI QIDQ6102762
Fouad Ben Abdelaziz, Meryem Masmoudi
Publication date: 9 May 2023
Published in: INFOR: Information Systems and Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3138/infor.50.3.134
Related Items
Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models, A multiple stochastic goal programming approach for the agent portfolio selection problem, A chance constrained recourse approach for the portfolio selection problem
Cites Work
- Solution approaches for the multiobjective stochastic programming
- Multi-objective stochastic programming for portfolio selection
- Portfolio theory for the recourse certainty equivalent maximizing investor
- Stochastic Programs with Fixed Recourse: The Equivalent Deterministic Program
- L-Shaped Linear Programs with Applications to Optimal Control and Stochastic Programming
- Deterministic Equivalents for Optimizing and Satisficing under Chance Constraints