Multi-objective stochastic programming for portfolio selection
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- Liu, Liping, 1999. "Approximate portfolio analysis," European Journal of Operational Research, Elsevier, vol. 119(1), pages 35-49, November.
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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.
- 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.
- 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 303-310, March.
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- William F. Sharpe, 1967. "A Linear Programming Algorithm for Mutual Fund Portfolio Selection," Management Science, INFORMS, vol. 13(7), pages 499-510, March.
- Abdelaziz, F. Ben & Lang, P. & Nadeau, R., 1995. "Distributional efficiency in multiobjective stochastic linear programming," European Journal of Operational Research, Elsevier, vol. 85(2), pages 399-415, September.
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