Downside Risk Approach for Multi-Objective Portfolio Optimization

DOI10.1007/978-3-642-29210-1_31zbMath1306.91132OpenAlexW202855484MaRDI QIDQ5176298

Bartosz Sawik

Publication date: 3 March 2015

Published in: Operations Research Proceedings (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-29210-1_31

Mathematics Subject Classification ID

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

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Cites Work

• Multiple criteria linear programming model for portfolio selection
• A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
• Conditional value at risk and related linear programming models for portfolio optimization
• A Bi-Objective Portfolio Optimization with Conditional Value-at-Risk
• A Reference Point Approach to Bi-Objective Dynamic Portfolio Optimization