Portfolio Selection with Multiple Time Horizons: A Mean Variance—Stochastic Goal Programming Approach

DOI10.3138/infor.50.3.106OpenAlexW2008695031MaRDI QIDQ6160277

Enrique Ballestero, Ana Garcia-Bernabeu

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.50.3.106

zbMATH Keywords

risk aversionportfolio selectiontime horizoninvestor's preferencesmean variance-stochastic goal programming (EV-SGP)

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Related Items (4)

Multi-criteria decision analysis with goal programming in engineering, management and social sciences: a state-of-the art review ⋮ Interpretation of Statistical Preference in Terms of Location Parameters ⋮ Modelling Investment Optimization on Smallholder Farms through Multiple Criteria Decision Making and Goal Programming: A Case Study from Ethiopia ⋮ A stochastic goal programming model to derive stable cash management policies

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