Probability maximization models for portfolio selection under ambiguity

DOI10.1007/s10100-008-0082-yzbMath1204.91121OpenAlexW2073617694MaRDI QIDQ623758

Hiroaki Ishii, Takashi Hasuike

Publication date: 8 February 2011

Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10100-008-0082-y

zbMATH Keywords

stochastic programmingportfolio selection problemmulti-scenario modelprobability maximization model

Mathematics Subject Classification ID

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

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