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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Vydáno v:	European journal of operational research Ročník 177; číslo 3; s. 1811 - 1823
Hlavní autoři:	Abdelaziz, Fouad Ben, Aouni, Belaid, Fayedh, Rimeh El
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	Amsterdam Elsevier B.V 16.03.2007 Elsevier Elsevier Sequoia S.A
Edice:	European Journal of Operational Research
Témata:	Chance constrained compromise programming Chance constrained programming Compromise programming Decision making models Goal programming Portfolio management Portfolio selection Stock exchanges Studies Tunisia Chance constrained compromise programming Portfolio selection Chance constrained programming Goal programming Compromise programming
ISSN:	0377-2217, 1872-6860
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