A Discrete Stochastic Goal Program for Portfolio Selection: The Case of United Arab Emirates Equity Market

DOI10.3138/INFOR.47.1.5MaRDI QIDQ6160189OpenAlexFDO

Authors

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.47.1.5

zbMATH Keywords

portfolio selectionstochastic programminggoal programming

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

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Cites work

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• A stochastic programming model for funding single premium deferred annuities
• Decision-maker's preferences modeling in the stochastic goal programming
• Multi-objective stochastic programming for portfolio selection
• Stochastic goal programming: A mean-variance approach

Cited in

(8)

• Interpretation of Statistical Preference in Terms of Location Parameters
• Fuzzy chance-constrained goal programming model for multi-attribute financial portfolio selection
• An interactive approach to stochastic programming-based portfolio optimization
• Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models
• Financial portfolio management through the goal programming model: current state-of-the-art
• Multi-criteria decision analysis with goal programming in engineering, management and social sciences: a state-of-the art review
• Solution approaches for the multiobjective stochastic programming
• Selecting Portfolios Given Multiple Eurostoxx-Based Uncertainty Scenarios: A Stochastic Goal Programming Approach from Fuzzy Betas

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