A class of stochastic optimization problems with one quadratic & several linear objective functions and extended portfolio selection model

In this paper a class of stochastic multiple-objective programming problems with one quadratic, several linear objective functions and linear constraints has been introduced. The former model is transformed into a deterministic multiple-objective nonlinear programming model by means of the introduct...

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Veröffentlicht in:	Journal of computational and applied mathematics Jg. 146; H. 1; S. 99 - 113
Hauptverfasser:	Xu, Jiuping, Li, Jun
Format:	Journal Article Tagungsbericht
Sprache:	Englisch
Veröffentlicht:	Amsterdam Elsevier B.V 01.09.2002 Elsevier
Schlagworte:	(Stochastic) Multiple quadratic-linear programming (Weakly) Efficient solution Applied sciences Exact sciences and technology Interactive algorithm Mathematical programming Operational research and scientific management Operational research. Management science Portfolio selection model (Stochastic) Multiple quadratic-linear programming Interactive algorithm (Weakly) Efficient solution Portfolio selection model Selection problem Necessary and sufficient condition Weight function Optimization method Multiobjective programming Linear programming Objective function Quadratic programming Random variable Constrained optimization Stochastic programming
ISSN:	0377-0427, 1879-1778
Online-Zugang:	Volltext
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