Multi-criteria optimal stopping methods applied to the portfolio optimisation problem

DOI10.1007/s10479-016-2325-yzbMath1401.90202OpenAlexW2556742940MaRDI QIDQ1615933

Ray Saadaoui Mallek, Fouad Ben Abdelaziz

Publication date: 31 October 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-016-2325-y

zbMATH Keywords

optimal stoppingportfolio managementmulti-criteria analysis

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Portfolio theory (91G10)

Related Items (1)

Pareto efficient buy and hold investment strategies under order book linked constraints

Uses Software

• IPSSIS

Cites Work

• Multi-attribute sequential decision problem with optimizing and satisficing attributes
• IPSSIS: an integrated multicriteria decision support system for equity portfolio construction and selection
• An interactive method for the optimal selection problem with two decision makers
• Multi-objective stochastic programming for portfolio selection
• Optimal stopping problems by two or more decision makers: a survey
• Multicriterial problem of optimum stopping of the selection process
• Who solved the secretary problem
• A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
• Optimal selection based on relative rank (the 'Secretary Problem')
• A multi-attribute extension of the secretary problem: theory and experiments
• The Secretary Problem and Its Extensions: A Review
• A Problem of Optimal Choice and Assignment
• On the full information best-choice problem
• An Optimal Stopping Problem with Two Decision Makers
• Dynamic Programming and Decision Theory
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