Optimal Programming Models for Portfolio Selection with Uncertain Chance Constraint

DOI10.5539/MAS.V3N9P84zbMath1178.91183OpenAlexW2014231587MaRDI QIDQ3185234

Limei Yan

Publication date: 26 October 2009

Published in: Modern Applied Science (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/f422cd9e559722b6cf72da56746a2baff81598f5

zbMATH Keywords

portfolio selectionuncertain variablecrisp equivalent programmingchance constrain

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10)

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