Bi-objective reliability based optimization: an application to investment analysis

Portfolio optimization problems are easy to address if single linear objective functions are considered, with the assumption of normality of asset returns distributions, subject to different risks, returns, and investment constraints. Higher complexities arise if combinations of multi-objective form...

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Vydáno v:	Annals of operations research Ročník 333; číslo 1; s. 47 - 78
Hlavní autoři:	Sengupta, Raghu Nandan, Gupta, Aditya, Mukherjee, Subhankar, Weiss, Gregor
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	New York Springer US 01.02.2024 Springer Springer Nature B.V
Témata:	Autoregressive processes Business and Management Combinatorics Estimates Extreme values Financial markets Investment analysis Mathematical optimization Methods Multiple objective analysis Operations Research/Decision Theory Optimization Optimization models Original - OR Modeling/Case Study Parameter estimation Parameter uncertainty Pareto optimum Portfolio management Reliability Securities analysis Theory of Computation India Portfolio optimization Investment analysis Risk analysis Multiple objective programming
ISSN:	0254-5330, 1572-9338
On-line přístup:	Získat plný text
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