A Discrete Stochastic Goal Program for Portfolio Selection: The Case of United Arab Emirates Equity Market

DOI10.3138/infor.47.1.5OpenAlexW2134787308MaRDI QIDQ6160189

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Publication date: 9 May 2023

Published in: INFOR: Information Systems and Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3138/infor.47.1.5

zbMATH Keywords

stochastic programminggoal programmingportfolio selection

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Related Items (7)

Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models ⋮ An interactive approach to stochastic programming-based portfolio optimization ⋮ Multi-criteria decision analysis with goal programming in engineering, management and social sciences: a state-of-the art review ⋮ Fuzzy chance-constrained goal programming model for multi-attribute financial portfolio selection ⋮ Interpretation of Statistical Preference in Terms of Location Parameters ⋮ Solution approaches for the multiobjective stochastic programming ⋮ Financial portfolio management through the goal programming model: current state-of-the-art

Cites Work

• Decision-maker's preferences modeling in the stochastic goal programming
• Multi-objective stochastic programming for portfolio selection
• A stochastic programming model for funding single premium deferred annuities
• Stochastic goal programming: A mean-variance approach
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