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Multi-objective stochastic programming for portfolio selection

  • Abdelaziz, Fouad Ben
  • Aouni, Belaid
  • Fayedh, Rimeh El
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    Article provided by Elsevier in its journal European Journal of Operational Research.

    Volume (Year): 177 (2007)
    Issue (Month): 3 (March)
    Pages: 1811-1823

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    Handle: RePEc:eee:ejores:v:177:y:2007:i:3:p:1811-1823
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    1. 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.
    2. Shing, Chue & Nagasawa, Hiroyuki, 1999. "Interactive decision system in stochastic multiobjective portfolio selection," International Journal of Production Economics, Elsevier, vol. 60(1), pages 187-193, April.
    3. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    4. A. Charnes & W. W. Cooper & R. O. Ferguson, 1955. "Optimal Estimation of Executive Compensation by Linear Programming," Management Science, INFORMS, vol. 1(2), pages 138-151, January.
    5. William F. Sharpe, 1967. "A Linear Programming Algorithm for Mutual Fund Portfolio Selection," Management Science, INFORMS, vol. 13(7), pages 499-510, March.
    6. Fred D. Arditti, 1967. "Risk And The Required Return On Equity," Journal of Finance, American Finance Association, vol. 22(1), pages 19-36, 03.
    7. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
    8. 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.
    9. 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.
    10. A. Charnes & W. W. Cooper, 1959. "Chance-Constrained Programming," Management Science, INFORMS, vol. 6(1), pages 73-79, October.
    11. Haim Levy, 1992. "Stochastic Dominance and Expected Utility: Survey and Analysis," Management Science, INFORMS, vol. 38(4), pages 555-593, April.
    12. 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.
    13. Liu, Liping, 1999. "Approximate portfolio analysis," European Journal of Operational Research, Elsevier, vol. 119(1), pages 35-49, November.
    14. Ballestero, Enrique, 2001. "Stochastic goal programming: A mean-variance approach," European Journal of Operational Research, Elsevier, vol. 131(3), pages 476-481, June.
    15. Steuer, Ralph E. & Na, Paul, 2003. "Multiple criteria decision making combined with finance: A categorized bibliographic study," European Journal of Operational Research, Elsevier, vol. 150(3), pages 496-515, November.
    16. Foued, Ben Abdelaziz & Sameh, Mejri, 2001. "Application of goal programming in a multi-objective reservoir operation model in Tunisia," European Journal of Operational Research, Elsevier, vol. 133(2), pages 352-361, January.
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