Stochastic multi-objective optimization: a survey on non-scalarizing methods
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DOI: 10.1007/s10479-013-1369-5
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- Panos Xidonas & Christis Hassapis & George Mavrotas & Christos Staikouras & Constantin Zopounidis, 2016. "Multiobjective portfolio optimization: bridging mathematical theory with asset management practice," Post-Print hal-02879921, HAL.
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- Amir Ahmadi-Javid & Malihe Fallah-Tafti, 2017. "Portfolio Optimization with Entropic Value-at-Risk," Papers 1708.05713, arXiv.org.
- Engau, Alexander & Sigler, Devon, 2020. "Pareto solutions in multicriteria optimization under uncertainty," European Journal of Operational Research, Elsevier, vol. 281(2), pages 357-368.
- Selçuklu, Saltuk Buğra & Coit, David W. & Felder, Frank A., 2020. "Pareto uncertainty index for evaluating and comparing solutions for stochastic multiple objective problems," European Journal of Operational Research, Elsevier, vol. 284(2), pages 644-659.
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- Yue Zhou-Kangas & Kaisa Miettinen, 2019. "Decision making in multiobjective optimization problems under uncertainty: balancing between robustness and quality," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 41(2), pages 391-413, June.
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- Liesiö, Juuso & Kallio, Markku & Argyris, Nikolaos, 2023. "Incomplete risk-preference information in portfolio decision analysis," European Journal of Operational Research, Elsevier, vol. 304(3), pages 1084-1098.
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Keywords
Stochastic optimization; Multi-objective optimization; Pareto optimality; Risk measures; Multivariate stochastic dominance;All these keywords.
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