Multi-objective stochastic programming for portfolio selection
Generally, in the portfolio selection problem the Decision Maker (DM) considers simultaneously conflicting objectives such as rate of return, liquidity and risk. Multi-objective programming techniques such as goal programming (GP) and compromise programming (CP) are used to choose the portfolio best...
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| Veröffentlicht in: | European journal of operational research Jg. 177; H. 3; S. 1811 - 1823 |
|---|---|
| Hauptverfasser: | , , |
| Format: | Journal Article |
| Sprache: | Englisch |
| Veröffentlicht: |
Amsterdam
Elsevier B.V
16.03.2007
Elsevier Elsevier Sequoia S.A |
| Schriftenreihe: | European Journal of Operational Research |
| Schlagworte: | |
| ISSN: | 0377-2217, 1872-6860 |
| Online-Zugang: | Volltext |
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| Abstract | Generally, in the portfolio selection problem the Decision Maker (DM) considers simultaneously conflicting objectives such as rate of return, liquidity and risk. Multi-objective programming techniques such as goal programming (GP) and compromise programming (CP) are used to choose the portfolio best satisfying the DM’s aspirations and preferences. In this article, we assume that the parameters associated with the objectives are random and normally distributed. We propose a chance constrained compromise programming model (CCCP) as a deterministic transformation to multi-objective stochastic programming portfolio model. CCCP is based on CP and chance constrained programming (CCP) models. The proposed program is illustrated by means of a portfolio selection problem from the Tunisian stock exchange market. |
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| AbstractList | Generally, in the portfolio selection problem the Decision Maker (DM) considers simultaneously conflicting objectives such as rate of return, liquidity and risk. Multi-objective programming techniques such as goal programming (GP) and compromise programming (CP) are used to choose the portfolio best satisfying the DM's aspirations and preferences. In this article, we assume that the parameters associated with the objectives are random and normally distributed. We propose a chance constrained compromise programming model (CCCP) as a deterministic transformation to multi-objective stochastic programming portfolio model. CCCP is based on CP and chance constrained programming (CCP) models. The proposed program is illustrated by means of a portfolio selection problem from the Tunisian stock exchange market. [PUBLICATION ABSTRACT] Generally, in the portfolio selection problem the Decision Maker (DM) considers simultaneously conflicting objectives such as rate of return, liquidity and risk. Multi-objective programming techniques such as goal programming (GP) and compromise programming (CP) are used to choose the portfolio best satisfying the DM’s aspirations and preferences. In this article, we assume that the parameters associated with the objectives are random and normally distributed. We propose a chance constrained compromise programming model (CCCP) as a deterministic transformation to multi-objective stochastic programming portfolio model. CCCP is based on CP and chance constrained programming (CCP) models. The proposed program is illustrated by means of a portfolio selection problem from the Tunisian stock exchange market. |
| Author | Aouni, Belaid Fayedh, Rimeh El Abdelaziz, Fouad Ben |
| Author_xml | – sequence: 1 givenname: Fouad Ben surname: Abdelaziz fullname: Abdelaziz, Fouad Ben email: foued.benabdelaz@isg.rnu.tn, fb12@aub.edu.lb organization: Laboratoire LARODEC, Institut Supérieur de Gestion, Le Bardo 2000, University of Tunis, Tunisia – sequence: 2 givenname: Belaid surname: Aouni fullname: Aouni, Belaid email: baouni@laurentian.ca organization: Decision Aid Research Group, School of Commerce and Administration, Laurentian University, Sudbury, Ont., Canada P3E 2C6 – sequence: 3 givenname: Rimeh El surname: Fayedh fullname: Fayedh, Rimeh El email: rimeh.elfayedh@fsegma.rnu.tn organization: Laboratoire LARODEC, Institut Supérieur de Gestion, Le Bardo 2000, University of Tunis, Tunisia |
| BackLink | http://econpapers.repec.org/article/eeeejores/v_3a177_3ay_3a2007_3ai_3a3_3ap_3a1811-1823.htm$$DView record in RePEc |
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| CODEN | EJORDT |
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| Keywords | Chance constrained compromise programming Portfolio selection Chance constrained programming Goal programming Compromise programming |
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| SubjectTerms | Chance constrained compromise programming Chance constrained programming Compromise programming Decision making models Goal programming Portfolio management Portfolio selection Stock exchanges Studies |
| Title | Multi-objective stochastic programming for portfolio selection |
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