Portfolio selection under strict uncertainty: a multi-criteria methodology and its application to the Frankfurt and Vienna stock exchanges

DOI10.1016/j.ejor.2005.11.050zbMath1123.91022OpenAlexW1993917232MaRDI QIDQ877641

N. E. Zubov

Publication date: 3 May 2007

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2005.11.050

zbMATH Keywords

simulationportfolio analysismulti-criteria performance indicesstrict uncertainty

Mathematics Subject Classification ID

Decision theory (91B06) Portfolio theory (91G10)

Related Items (6)

Multi-criteria decision analysis with goal programming in engineering, management and social sciences: a state-of-the art review ⋮ Selecting Portfolios Given Multiple Eurostoxx-Based Uncertainty Scenarios: A Stochastic Goal Programming Approach from Fuzzy Betas ⋮ Should you stop investing in a sinking fund when it is sinking? ⋮ Financial portfolio management through the goal programming model: current state-of-the-art ⋮ International portfolio choice and political instability risk: a multi-objective approach ⋮ Objective comparisons of the optimal portfolios corresponding to different utility functions

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