2007
DOI: 10.1016/j.ejor.2005.10.021
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Multi-objective stochastic programming for portfolio selection

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Cited by 237 publications
(119 citation statements)
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References 30 publications
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“…However, recent studies suggest that in many situations a more complex decision model may be at work (Abdelaziz et al, 2007;Ballestero et al, 2012;Bollen, 2007;Dorfleitner & Utz, 2012;Hallerbach et al, 2004;Steuer et al, 2007;. Toward that end, in Hirschberger et al (2013), a methodology is developed for extending the portfolio selection model of Markowitz to include a third criterion.…”
Section: Introductionmentioning
confidence: 99%
“…However, recent studies suggest that in many situations a more complex decision model may be at work (Abdelaziz et al, 2007;Ballestero et al, 2012;Bollen, 2007;Dorfleitner & Utz, 2012;Hallerbach et al, 2004;Steuer et al, 2007;. Toward that end, in Hirschberger et al (2013), a methodology is developed for extending the portfolio selection model of Markowitz to include a third criterion.…”
Section: Introductionmentioning
confidence: 99%
“…Consequently, the hybrid approach could perform better than either of the other two approaches for a given problem. Interested readers may consult [96] for a substantiation of this claim.…”
Section: Comparison Of Different Approachmentioning
confidence: 99%
“…They are chance constrained approach and recourse approach. Ben Abdelaziz et al (2007) employed the chance-constrained compromise programming model (CCCP), which combined the compromise programme (CP) model and the chance-constrained programming approach (CCP). They considered three objectives return, exchange flow and risk.…”
Section: Research Problem and Literature Reviewmentioning
confidence: 99%