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My bibliography Save this articleMulti-objective probabilistically constrained programs with variable risk: Models for multi-portfolio financial optimization
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DOI: 10.1016/j.ejor.2016.01.039
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Cited by:
- Lejeune, Miguel & Lozin, Vadim & Lozina, Irina & Ragab, Ahmed & Yacout, Soumaya, 2019. "Recent advances in the theory and practice of Logical Analysis of Data," European Journal of Operational Research, Elsevier, vol. 275(1), pages 1-15.
- Horng, Shih-Cheng & Lin, Shieh-Shing, 2019. "Bat algorithm assisted by ordinal optimization for solving discrete probabilistic bicriteria optimization problems," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 166(C), pages 346-364.
- Ki Taek Park & Hyejeong Yang & So Young Sohn, 2022. "Recommendation of investment portfolio for peer-to-peer lending with additional consideration of bidding period," Annals of Operations Research, Springer, vol. 315(2), pages 1083-1105, August.
- Marla, Lavanya & Rikun, Alexander & Stauffer, Gautier & Pratsini, Eleni, 2020. "Robust modeling and planning: Insights from three industrial applications," Operations Research Perspectives, Elsevier, vol. 7(C).
- Nilay Noyan & Gábor Rudolf & Miguel Lejeune, 2022. "Distributionally Robust Optimization Under a Decision-Dependent Ambiguity Set with Applications to Machine Scheduling and Humanitarian Logistics," INFORMS Journal on Computing, INFORMS, vol. 34(2), pages 729-751, March.
- Miguel A. Lejeune & Janne Kettunen, 2018. "A fractional stochastic integer programming problem for reliability-to-stability ratio in forest harvesting," Computational Management Science, Springer, vol. 15(3), pages 583-597, October.
- Yiling Zhang & Jin Dong, 2022. "Building Load Control Using Distributionally Robust Chance-Constrained Programs with Right-Hand Side Uncertainty and the Risk-Adjustable Variants," INFORMS Journal on Computing, INFORMS, vol. 34(3), pages 1531-1547, May.
- repec:cte:idrepe:24017 is not listed on IDEAS
- Zheng, Xiaojin & Wu, Baiyi & Cui, Xueting, 2017. "Cell-and-bound algorithm for chance constrained programs with discrete distributions," European Journal of Operational Research, Elsevier, vol. 260(2), pages 421-431.
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Keywords
Multi-portfolio optimization; Probabilistic constraint; Variable reliability; Multi-objective programming; Boolean programming;All these keywords.
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