The proposed multi-stage stochastic programming model allows for the best possible decision (Which stocks should be in the stock portfolio) at the moment based on the different scenarios that may occur in the future.
Aug 17, 2022
Mar 16, 2007 · We propose a chance constrained compromise programming model (CCCP) as a deterministic transformation to multi-objective stochastic programming portfolio model.
The aim of this paper is to propose a fuzzy chance constrained goal programming model for solving a multi-attribute financial portfolio selection problem under ...
In this paper, we propose a multi objective stochastic model with linear partial information on probability distribution (MSPLI) for portfolio selection ...
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The aim of this paper is to present a model for portfolio selection in a context where some parameters are random and normally distributed. We propose a ...
Abdelaziz, F.B., Aouni, B. and Fayedh, R.E. (2007) Multi-Objective Stochastic Programming for Portfolio Selection. European Journal of Operational Research, ...
[PDF] Multiple Objectives in Portfolio Selection - Terry College of Business
www.terry.uga.edu › JFDM
Then, with portfolio se- lection for non-standard investors taking on the form of a multi-objective stochastic programming problem, equivalent deterministic ...
The portfolio selection problem is to find an optimal solution to allocate a fixed amount of capital to a set of available stocks with the objective function of ...
In this paper, a multi objective multi stage stochastic model is proposed to portfolio selection. This model takes into account both the investment goal and ...