A multiple stochastic goal programming approach for the agent portfolio selection problem
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Publication:2404340
DOI10.1007/s10479-015-1884-7zbMath1370.90164OpenAlexW340849822WikidataQ59284894 ScholiaQ59284894MaRDI QIDQ2404340
Publication date: 18 September 2017
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-015-1884-7
stochastic goal programmingportfolio selection problemchance constrained approachmulti-objective stochastic programmingrecourse approach
Related Items (5)
Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models ⋮ Multiobjective portfolio optimization: bridging mathematical theory with asset management practice ⋮ Pareto efficient buy and hold investment strategies under order book linked constraints ⋮ Bi-objective mean–variance method based on Chebyshev inequality bounds for multi-objective stochastic problems ⋮ Equilibrium reinsurance-investment strategies with partial information and common shock dependence
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- Multi-Attribute Portfolio Selection: New Perspectives
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