An interactive approach to stochastic programming-based portfolio optimization

DOI10.1007/s10479-014-1719-yzbMath1349.91246OpenAlexW2088815428MaRDI QIDQ342781

Ceren Tuncer Şakar, Murat M. Köksalan

Publication date: 18 November 2016

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

Full work available at URL: https://doi.org/10.1007/s10479-014-1719-y

zbMATH Keywords

stochastic programmingportfolio optimizationinteractive weighted Tchebycheff procedure

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10)

Related Items (10)

Multiobjective portfolio optimization: bridging mathematical theory with asset management practice ⋮ Training trees on tails with applications to portfolio choice ⋮ Robust multicriteria risk-averse stochastic programming models ⋮ A hybrid FA-SA algorithm for fuzzy portfolio selection with transaction costs ⋮ MULTIPERIOD CREDIBILITIC MEAN SEMI-ABSOLUTE DEVIATION PORTFOLIO SELECTION ⋮ A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function ⋮ Multi-criteria decision making for choosing socially responsible investment within a behavioral portfolio theory framework: a new way of investing into a crisis environment ⋮ Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection ⋮ Sparse factor model based on trend filtering ⋮ Multiperiod mean absolute deviation uncertain portfolio selection with real constraints

Uses Software

• IPSSIS

Cites Work

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