Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models

Masmoudi, Meryem; Abdelaziz, Fouad Ben

doi:10.1007/s10479-017-2466-7

Cited by 45 publications

(18 citation statements)

References 39 publications

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“…z k measure the corresponding general portfolio expected objectives. [69], [8], [73], [79], [6], and [52] offer detailed surveys. We will further review the criteria in subsection 2.2.…”

Section: (Communicated By Jie Sun)mentioning

confidence: 99%

Optimizing 3-objective portfolio selection with equality constraints and analyzing the effect of varying constraints on the efficient sets

Qi¹,

Li²,

Zhang³

2021

JIMO

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Markowitz proposes portfolio selection as a 2-objective model and emphasizes computing (whole) efficient sets and nondominated sets. Computing the sets has long been a topic in multiple-objective optimization. Researchers have gradually recognized other criteria in addition to variance and expected return. To formulate the additional criteria, researchers propose multiple-objective portfolio selection. However, computing the corresponding efficient set and nondominated set is not fully achieved. Moreover, discovering the sets' properties and utilizing the properties remain typically unanswered.In this paper, we extend Sharpe's and Merton's model by adding a general linear objective and imposing equality constraints. To optimize the model, we analytically derive the minimum-variance surface (defined later), prove it as a nondegenerate paraboloid, and prove the nondominated set as a paraboloidal segment. We also analytically derive the efficient set and prove it as a 2dimensional translated cone. We then prove that the set subsumes the efficient set of the corresponding traditional model, so the efficient set expands as the general linear objective is added. Furthermore, constraints can be changed or added. We utilize the translated-cone properties and readily compute the changing constraints' effect on the efficient sets by formulae or linear-equation systems.

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“…z k measure the corresponding general portfolio expected objectives. [69], [8], [73], [79], [6], and [52] offer detailed surveys. We will further review the criteria in subsection 2.2.…”

Section: (Communicated By Jie Sun)mentioning

confidence: 99%

Optimizing 3-objective portfolio selection with equality constraints and analyzing the effect of varying constraints on the efficient sets

Qi¹,

Li²,

Zhang³

2021

JIMO

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“…Combination of tabu search and adaptive large neighbourhood search (Nickel et al, 2012) Reassessment (n ¼ 0) (n ¼ 0) -seen as a form of investment selection (with return expressed as a combination of monetary and utility terms) over a given planning period. Masmoudi et al (2018) review multiple objective deterministic and stochastic programming models for this problem. The aim is to select the least risky set of investments (services in HHC settings) for a given level of return, which need not be monetary.…”

Section: Approaches From the Non-hhc Literaturementioning

confidence: 99%

Operational research applied to decisions in home health care: A systematic literature review

Grieco

Utley²,

Crowe

2020

Journal of the Operational Research Society

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The efficient deployment of resources in home-based care is considered crucial for the sustainability of health and social care systems worldwide. The aim of this study was to identify and review operational research approaches to support decision-making in home health care. We identified a set of linked decisions at different planning levels (strategic, tactical, operational) and conducted a systematic review of operational research approaches used to address these decisions. We also sampled OR literature applied to analogous decisions in other settings. The 77 papers selected focused predominantly on solutions for staff-to-patient allocation, visit scheduling and staff routing, few of which were adopted by organisations. Few studies dealt with tactical decisions of team size and composition or strategic decisions of districting, and we found no studies on contract design for commissioning home health care, on staff role definitions or on reassessment of patient need. Integrative work is scarce and the aspects of system performance considered are variable and diverse. For these reasons the literature does not provide guidance for home health care services aspiring to effective and coherent decisions across planning levels. OR approaches from other areas of application provide some insights for future research aimed at addressing this shortfall.

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“…Further, comprehensive model for solving multiobjective project portfolio selection was proposed based on Scatter Search (Carazo et al, 2010). Masmoudi and Ben Abdelaziz (2018) provided a comprehensive review on multiple objective deterministic and stochastic programming models for portfolio selection problems. Huang (2017) undertook uncertainty measures in contrast to stochastic portfolio selection (Huang, 2017).…”

Section: Corporate Sustainability Trade-offs and Conventional Projementioning

confidence: 99%

Corporate sustainability and stakeholder value trade‐offs in project selection through optimization modeling: Application of investment banking

Kudratova

Huang

Kudratov

et al. 2019

Corp Soc Responsibility Env

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This study presents a new optimization model for quantitative sustainability measurement in net present value estimation process of corporate investments. Proposed model presents an innovative perspective for the transformation of the logic behind traditional investment project selection practices to the sustainable project selection in corporations. By using the proposed model, it is possible that investors' can find positive sustainability trade‐offs without harming returns on investment. A case study is presented to illustrate the applicability of the proposed model in project selection decision‐making processes. Expected net present value is employed to calculate the return of the project investment for project selection decision‐stage. In order to identify stakeholder value trade‐off gaps, proposed model with sustainability involvement is evaluated in contrast to the traditional net value method estimations of the model. Based on optimization results, comparative analysis of proposed sustainability cost involvement in net present value estimation with traditional net present value estimation in project selection practices restore positive trade‐offs verifying the efficiency of proposed methodology.

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Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models

Cited by 45 publications

References 39 publications

Optimizing 3-objective portfolio selection with equality constraints and analyzing the effect of varying constraints on the efficient sets

Optimizing 3-objective portfolio selection with equality constraints and analyzing the effect of varying constraints on the efficient sets

Operational research applied to decisions in home health care: A systematic literature review

Corporate sustainability and stakeholder value trade‐offs in project selection through optimization modeling: Application of investment banking

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