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Probability maximization models for portfolio selection under ambiguity

  • Takashi Hasuike

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  • Hiroaki Ishii
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    File URL: http://hdl.handle.net/10.1007/s10100-008-0082-y
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    Article provided by Springer in its journal Central European Journal of Operations Research.

    Volume (Year): 17 (2009)
    Issue (Month): 2 (June)
    Pages: 159-180

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    Handle: RePEc:spr:cejnor:v:17:y:2009:i:2:p:159-180
    Contact details of provider: Web page: http://www.springer.com/business/operations+research/journal/10100

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    1. Tanaka, Hideo & Guo, Peijun, 1999. "Portfolio selection based on upper and lower exponential possibility distributions," European Journal of Operational Research, Elsevier, vol. 114(1), pages 115-126, April.
    2. Bawa, Vijay S. & Lindenberg, Eric B., 1977. "Capital market equilibrium in a mean-lower partial moment framework," Journal of Financial Economics, Elsevier, vol. 5(2), pages 189-200, November.
    3. Abdelaziz, Fouad Ben & Aouni, Belaid & Fayedh, Rimeh El, 2007. "Multi-objective stochastic programming for portfolio selection," European Journal of Operational Research, Elsevier, vol. 177(3), pages 1811-1823, March.
    4. Luenberger, David G., 1997. "Investment Science," OUP Catalogue, Oxford University Press, number 9780195108095, March.
    5. Georg Pflug & David Wozabal, 2007. "Ambiguity in portfolio selection," Quantitative Finance, Taylor & Francis Journals, vol. 7(4), pages 435-442.
    6. 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.
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