Multi-objective stochastic programming for portfolio selection
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- Prakash, Arun J. & Chang, Chun-Hao & Pactwa, Therese E., 2003. "Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets," Journal of Banking & Finance, Elsevier, vol. 27(7), pages 1375-1390, July.
- William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
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- Fred D. Arditti, 1967. "Risk And The Required Return On Equity," Journal of Finance, American Finance Association, vol. 22(1), pages 19-36, 03.
- William F. Sharpe, 1967. "A Linear Programming Algorithm for Mutual Fund Portfolio Selection," Management Science, INFORMS, vol. 13(7), pages 499-510, March.
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- Kumar, P C & Philippatos, George C & Ezzell, John R, 1978. "Goal Programming and the Selection of Portfolios by Dual-Purpose Funds," Journal of Finance, American Finance Association, vol. 33(1), pages 303-10, March.
- Aouni, Belaid & Ben Abdelaziz, Foued & Martel, Jean-Marc, 2005. "Decision-maker's preferences modeling in the stochastic goal programming," European Journal of Operational Research, Elsevier, vol. 162(3), pages 610-618, May.
- Liu, Liping, 1999. "Approximate portfolio analysis," European Journal of Operational Research, Elsevier, vol. 119(1), pages 35-49, November.
- Ballestero, Enrique, 2001. "Stochastic goal programming: A mean-variance approach," European Journal of Operational Research, Elsevier, vol. 131(3), pages 476-481, June.
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- Haim Levy, 1992. "Stochastic Dominance and Expected Utility: Survey and Analysis," Management Science, INFORMS, vol. 38(4), pages 555-593, April.
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