A class of stochastic optimization problems with one quadratic \& several linear objective functions and extended portfolio selection model

DOI10.1016/S0377-0427(02)00421-1zbMath1010.90051OpenAlexW2053465684MaRDI QIDQ697551

Jun Li, Jiu-Ping Xu

Publication date: 17 September 2002

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0377-0427(02)00421-1

zbMATH Keywords

weakly efficient solutioninteractive algorithmmultiple quadratic-linear programmingportfolio selection model

Mathematics Subject Classification ID

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

Related Items (5)

On the criterion vectors of lines of portfolio selection with multiple quadratic and multiple linear objectives ⋮ Doubly nonnegative relaxation method for solving multiple objective quadratic programming problems ⋮ Hybrid method for a class of stochastic bi-criteria optimization problems ⋮ The mean-absolute deviation portfolio selection problem with interval-valued returns ⋮ Stock selection using data envelopment analysis-discriminant analysis

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• Depedent-chance programming: A class of stochastic optimization
• A reference direction approach to multiple objective quadratic-linear programming
• Proper efficiency and the theory of vector maximization
• Chance-Constrained Programming
• An Interactive Approach for Multi-Criterion Optimization, with an Application to the Operation of an Academic Department

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