Multiple criteria linear programming model for portfolio selection
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- Constantin Zopounidis & Michael Doumpos, 2013. "Multicriteria decision systems for financial problems," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(2), pages 241-261, July.
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- Panagiotis Xidonas & George Mavrotas & John Psarras, 2010. "Equity portfolio construction and selection using multiobjective mathematical programming," Journal of Global Optimization, Springer, vol. 47(2), pages 185-209, June.
- Hirschberger, Markus & Qi, Yue & Steuer, Ralph E., 2007. "Randomly generating portfolio-selection covariance matrices with specified distributional characteristics," European Journal of Operational Research, Elsevier, vol. 177(3), pages 1610-1625, March.
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- Polak, George G. & Rogers, David F. & Sweeney, Dennis J., 2010. "Risk management strategies via minimax portfolio optimization," European Journal of Operational Research, Elsevier, vol. 207(1), pages 409-419, November.
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- Rafael Rodríguez & Mariano Luque & Mercedes González, 2011. "Portfolio selection in the Spanish stock market by interactive multiobjective programming," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 19(1), pages 213-231, July.
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- TKACENKO, Alexandra, 2014. "Linear Programming Methods For Solving The Portfolio’S Problems," Journal of Financial and Monetary Economics, Centre of Financial and Monetary Research "Victor Slavescu", vol. 1(1), pages 216-221.
- Klamroth, Kathrin & Köbis, Elisabeth & Schöbel, Anita & Tammer, Christiane, 2017. "A unified approach to uncertain optimization," European Journal of Operational Research, Elsevier, vol. 260(2), pages 403-420.
- repec:spr:mathme:v:86:y:2017:i:3:d:10.1007_s00186-017-0613-1 is not listed on IDEAS
- Mut, Murat & Wiecek, Margaret M., 2011. "Generalized equitable preference in multiobjective programming," European Journal of Operational Research, Elsevier, vol. 212(3), pages 535-551, August.
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Keywordsportfolio selection; multiple criteria; linear programming; equity;
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