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...

Full description

Bibliographic Details

Published in:	European journal of operational research Vol. 177; no. 3; pp. 1811 - 1823
Main Authors:	Abdelaziz, Fouad Ben, Aouni, Belaid, Fayedh, Rimeh El
Format:	Journal Article
Language:	English
Published:	Amsterdam Elsevier B.V 16.03.2007 Elsevier Elsevier Sequoia S.A
Series:	European Journal of Operational Research
Subjects:	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
Online Access:	Get full text
Tags:	Add Tag No Tags, Be the first to tag this record!