IDEAS home Printed from https://ideas.repec.org/r/spr/annopr/v97y2000i1p143-16210.1023-a1018980308807.html
   My bibliography  Save this item

Multiple criteria linear programming model for portfolio selection

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. A. Nureize & J. Watada & S. Wang, 2014. "Fuzzy random regression based multi-attribute evaluation and its application to oil palm fruit grading," Annals of Operations Research, Springer, vol. 219(1), pages 299-315, August.
  2. 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.
  3. Kahina Ghazli & Nicolas Gillis & Mustapha Moulaï, 2020. "Optimizing over the properly efficient set of convex multi-objective optimization problems," Annals of Operations Research, Springer, vol. 295(2), pages 575-604, December.
  4. Hamed Soleimani & Mirmehdi Seyyed-Esfahani & Mohsen Akbarpour Shirazi, 2016. "A new multi-criteria scenario-based solution approach for stochastic forward/reverse supply chain network design," Annals of Operations Research, Springer, vol. 242(2), pages 399-421, July.
  5. Lu Wang & Ferhana Ahmad & Gong-li Luo & Muhammad Umar & Dervis Kirikkaleli, 2022. "Portfolio optimization of financial commodities with energy futures," Annals of Operations Research, Springer, vol. 313(1), pages 401-439, June.
  6. Marasovic, Branka & Babic, Zoran, 2011. "Two-step multi-criteria model for selecting optimal portfolio," International Journal of Production Economics, Elsevier, vol. 134(1), pages 58-66, November.
  7. 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.
  8. 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.
  9. 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.
  10. Davide Lauria & W. Brent Lindquist & Svetlozar T. Rachev, 2023. "Enhancing CVaR portfolio optimisation performance with GAM factor models," Papers 2401.00188, arXiv.org.
  11. Sehgal, Ruchika & Sharma, Amita & Mansini, Renata, 2023. "Worst-case analysis of Omega-VaR ratio optimization model," Omega, Elsevier, vol. 114(C).
  12. P Xidonas & G Mavrotas & J Psarras, 2010. "A multiple criteria decision-making approach for the selection of stocks," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 61(8), pages 1273-1287, August.
  13. Kostreva, Michael M. & Ogryczak, Wlodzimierz & Wierzbicki, Adam, 2004. "Equitable aggregations and multiple criteria analysis," European Journal of Operational Research, Elsevier, vol. 158(2), pages 362-377, October.
  14. Renata Mansini & Włodzimierz Ogryczak & M. Speranza, 2007. "Conditional value at risk and related linear programming models for portfolio optimization," Annals of Operations Research, Springer, vol. 152(1), pages 227-256, July.
  15. Jang Ho Kim & Yongjae Lee & Woo Chang Kim & Frank J. Fabozzi, 2022. "Goal-based investing based on multi-stage robust portfolio optimization," Annals of Operations Research, Springer, vol. 313(2), pages 1141-1158, June.
  16. Mansini, Renata & Ogryczak, Wlodzimierz & Speranza, M. Grazia, 2014. "Twenty years of linear programming based portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 518-535.
  17. Masoud Rahiminezhad Galankashi & Farimah Mokhatab Rafiei & Maryam Ghezelbash, 2020. "Portfolio selection: a fuzzy-ANP approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-34, December.
  18. 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.
  19. Pätäri, Eero & Karell, Ville & Luukka, Pasi & Yeomans, Julian S, 2018. "Comparison of the multicriteria decision-making methods for equity portfolio selection: The U.S. evidence," European Journal of Operational Research, Elsevier, vol. 265(2), pages 655-672.
  20. Virginie Gabrel & Cécile Murat & Aurélie Thiele, 2018. "Portfolio optimization with pw-robustness," EURO Journal on Computational Optimization, Springer;EURO - The Association of European Operational Research Societies, vol. 6(3), pages 267-290, September.
  21. Gour Sundar Mitra Thakur & Rupak Bhattacharyya & Seema Sarkar, 2022. "Fuzzy Expert System for Stock Portfolio Selection: An Application to Bombay Stock Exchange," Papers 2204.13385, arXiv.org, revised May 2022.
  22. Goel, Anubha & Sharma, Amita, 2020. "Mixed value-at-risk and its numerical investigation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 541(C).
  23. Ogryczak, Wlodzimierz & Sliwinski, Tomasz, 2003. "On solving linear programs with the ordered weighted averaging objective," European Journal of Operational Research, Elsevier, vol. 148(1), pages 80-91, July.
  24. 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.
  25. Ralph Steuer & Yue Qi & Markus Hirschberger, 2007. "Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection," Annals of Operations Research, Springer, vol. 152(1), pages 297-317, July.
  26. Panos Xidonas & Christis Hassapis & George Mavrotas & Christos Staikouras & Constantin Zopounidis, 2018. "Multiobjective portfolio optimization: bridging mathematical theory with asset management practice," Annals of Operations Research, Springer, vol. 267(1), pages 585-606, August.
  27. Francesco Cesarone & Justo Puerto, 2024. "New approximate stochastic dominance approaches for Enhanced Indexation models," Papers 2401.12669, arXiv.org.
  28. 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.
  29. 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.
  30. Wlodzimierz Ogryczak & Michał Przyłuski & Tomasz Śliwiński, 2017. "Efficient optimization of the reward-risk ratio with polyhedral risk measures," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 86(3), pages 625-653, December.
  31. 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.
  32. Abdallah Ben Saida & Jean-luc Prigent, 2018. "On the robustness of portfolio allocation under copula misspecification," Annals of Operations Research, Springer, vol. 262(2), pages 631-652, March.
  33. Fatima Bellahcene, 2019. "Decision maker's preferences modeling for multiple objective stochastic linear programming problems," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 29(3), pages 5-16.
  34. Amelia Bilbao-Terol & Mar Arenas-Parra & Verónica Cañal-Fernández & Celia Bilbao-Terol, 2016. "Multi-criteria decision making for choosing socially responsible investment within a behavioral portfolio theory framework: a new way of investing into a crisis environment," Annals of Operations Research, Springer, vol. 247(2), pages 549-580, December.
  35. Andrey Novoselov & Ivan Potravny & Irina Novoselova & Violetta Gassiy, 2020. "Sustainable Development of the Arctic Indigenous Communities: The Approach to Projects Optimization of Mining Company," Sustainability, MDPI, vol. 12(19), pages 1-18, September.
  36. Mohsen Mortazavi, 2023. "Selecting Sustainable Optimal Stock by Using Multi-Criteria Fuzzy Decision-Making Approaches Based on the Development of the Gordon Model: A case study of the Toronto Stock Exchange," Papers 2304.13818, arXiv.org.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.