Multi-objective probabilistically constrained programs with variable risk: models for multi-portfolio financial optimization

DOI10.1016/j.ejor.2016.01.039zbMath1346.91212OpenAlexW2295394142MaRDI QIDQ322926

Miguel A. Lejeune, Siqian Shen

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2016.01.039

zbMATH Keywords

multi-objective programmingBoolean programmingprobabilistic constraintmulti-portfolio optimizationvariable reliability

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Stochastic programming (90C15) Financial applications of other theories (91G80) Boolean programming (90C09) Portfolio theory (91G10)

Related Items (12)

Chance-constrained stochastic programming under variable reliability levels with an application to humanitarian relief network design ⋮ Recommendation of investment portfolio for peer-to-peer lending with additional consideration of bidding period ⋮ Distributionally Robust Optimization Under a Decision-Dependent Ambiguity Set with Applications to Machine Scheduling and Humanitarian Logistics ⋮ Building Load Control Using Distributionally Robust Chance-Constrained Programs with Right-Hand Side Uncertainty and the Risk-Adjustable Variants ⋮ Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness ⋮ Recent advances in the theory and practice of logical analysis of data ⋮ A fractional stochastic integer programming problem for reliability-to-stability ratio in forest harvesting ⋮ Cell-and-bound algorithm for chance constrained programs with discrete distributions ⋮ Bat algorithm assisted by ordinal optimization for solving discrete probabilistic bicriteria optimization problems ⋮ Differential equations connecting VaR and CVaR ⋮ Application of robust optimization for a product portfolio problem using an invasive weed optimization algorithm ⋮ Solving Chance-Constrained Optimization Problems with Stochastic Quadratic Inequalities

Uses Software

• JBool

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Using integer programming for balancing return and risk in problems with individual chance constraints
• Threshold Boolean form for joint probabilistic constraints with random technology matrix
• Nonlinear multiobjective optimization
• Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra
• Multiple criteria optimization: State of the art annotated bibliographic surveys
• Multivariate value at risk and related topics
• Pattern definition of the \(p\)-efficiency concept
• An exact approach for solving integer problems under probabilistic constraints with random technology matrix
• On mixing sets arising in chance-constrained programming
• An Efficient Trajectory Method for Probabilistic Production-Inventory-Distribution Problems
• Computability of global solutions to factorable nonconvex programs: Part I — Convex underestimating problems
• Pattern-Based Modeling and Solution of Probabilistically Constrained Optimization Problems
• A Stochastic Programming Model
• A New Model for Stochastic Linear Programming
• A Reliability Programming Approach to Production Planning
• Concavity and efficient points of discrete distributions in probabilistic programming.

This page was built for publication: Multi-objective probabilistically constrained programs with variable risk: models for multi-portfolio financial optimization