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Goal programming models and their duality relations for use in evaluating security portfolio and regression relations

  • Cooper, W. W.
  • Lelas, V.
  • Sueyoshi, T.
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    File URL: http://www.sciencedirect.com/science/article/B6VCT-3SWXMSD-1Y/2/ad9dd3284e77e9d55e27e62c97c52dd2
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    Article provided by Elsevier in its journal European Journal of Operational Research.

    Volume (Year): 98 (1997)
    Issue (Month): 2 (April)
    Pages: 431-443

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    Handle: RePEc:eee:ejores:v:98:y:1997:i:2:p:431-443
    Contact details of provider: Web page: http://www.elsevier.com/locate/eor

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    1. Yusif Simaan, 1993. "What is the Opportunity Cost of Mean-Variance Investment Strategies?," Management Science, INFORMS, vol. 39(5), pages 578-587, May.
    2. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
    3. Booth, GG & Bessler, W, 1989. "Goal programming models for managing interest-rate risk," Omega, Elsevier, vol. 17(1), pages 81-89.
    4. Crarnes, A. & Cooper, W. W. & Harrald, J. & Karwan, K. R. & Wallace, W. A., 1976. "A goal interval programming model for resource allocation in a marine environmental protection program," Journal of Environmental Economics and Management, Elsevier, vol. 3(4), pages 347-362, December.
    5. 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.
    6. Hiroshi Konno & Hiroaki Yamazaki, 1991. "Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market," Management Science, INFORMS, vol. 37(5), pages 519-531, May.
    7. Charnes, A. & Cooper, W. W. & Karwan, K. R. & Wallace, W. A., 1979. "A chance-constrained goal programming model to evaluate response resources for marine pollution disasters," Journal of Environmental Economics and Management, Elsevier, vol. 6(3), pages 244-274, September.
    8. Charles D. Feinstein & Mukund N. Thapa, 1993. "Notes: A Reformulation of a Mean-Absolute Deviation Portfolio Optimization Model," Management Science, INFORMS, vol. 39(12), pages 1552-1553, December.
    9. A. Charnes & W. W. Cooper & T. Sueyoshi, 1988. "A Goal Programming/Constrained Regression Review of the Bell System Breakup," Management Science, INFORMS, vol. 34(1), pages 1-26, January.
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