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Stochastic goal programming: A mean-variance approach

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  • Ballestero, Enrique

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  • Ballestero, Enrique, 2001. "Stochastic goal programming: A mean-variance approach," European Journal of Operational Research, Elsevier, vol. 131(3), pages 476-481, June.
    • Handle: RePEc:eee:ejores:v:131:y:2001:i:3:p:476-481
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    1. A. M. Geoffrion & J. S. Dyer & A. Feinberg, 1972. "An Interactive Approach for Multi-Criterion Optimization, with an Application to the Operation of an Academic Department," Management Science, INFORMS, vol. 19(4-Part-1), pages 357-368, December.
    2. A. Charnes & W. W. Cooper, 1959. "Chance-Constrained Programming," Management Science, INFORMS, vol. 6(1), pages 73-79, October.
    3. J. G. Kallberg & W. T. Ziemba, 1983. "Comparison of Alternative Utility Functions in Portfolio Selection Problems," Management Science, INFORMS, vol. 29(11), pages 1257-1276, November.
    4. Tamiz, Mehrdad & Jones, Dylan & Romero, Carlos, 1998. "Goal programming for decision making: An overview of the current state-of-the-art," European Journal of Operational Research, Elsevier, vol. 111(3), pages 569-581, December.
    5. Stanley Zionts & Jyrki Wallenius, 1976. "An Interactive Programming Method for Solving the Multiple Criteria Problem," Management Science, INFORMS, vol. 22(6), pages 652-663, February.
    6. Bruno Contini, 1968. "A Stochastic Approach to Goal Programming," Operations Research, INFORMS, vol. 16(3), pages 576-586, June.
    7. Thomas L. Saaty, 1994. "How to Make a Decision: The Analytic Hierarchy Process," Interfaces, INFORMS, vol. 24(6), pages 19-43, December.
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    Cited by:

    1. 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.
    2. Petr Fiala & Adam Borovička, 2022. "Stock portfolio selection using aspiration level-oriented procedure: real case on the RM-SYSTEM Czech stock exchange," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 30(2), pages 781-805, June.
    3. David Pla-Santamaria & Ana Garcia-Bernabeu, 2013. "Comments on: 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 275-278, July.
    4. 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.
    5. Abdelaziz, Fouad Ben, 2012. "Solution approaches for the multiobjective stochastic programming," European Journal of Operational Research, Elsevier, vol. 216(1), pages 1-16.
    6. Muñoz, María M. & Abdelaziz, Fouad Ben, 2012. "Satisfactory solution concepts and their relations for Stochastic Multiobjective Programming problems," European Journal of Operational Research, Elsevier, vol. 220(2), pages 430-442.
    7. Francisco Salas-Molina & Juan A. Rodriguez-Aguilar & David Pla-Santamaria, 2020. "A stochastic goal programming model to derive stable cash management policies," Journal of Global Optimization, Springer, vol. 76(2), pages 333-346, February.
    8. García-Bernabeu, A. & Pla-Santamaria, D. & Bravo, M. & Pérez-Gladish, B., 2015. "La protección medioambiental como criterio en la selección de inversiones socialmente responsables: una aproximación multicriterio," Economia Agraria y Recursos Naturales, Spanish Association of Agricultural Economists, vol. 15(01).
    9. Robert F. Bordley & Craig W. Kirkwood, 2004. "Multiattribute Preference Analysis with Performance Targets," Operations Research, INFORMS, vol. 52(6), pages 823-835, December.
    10. Utz, Sebastian & Wimmer, Maximilian & Hirschberger, Markus & Steuer, Ralph E., 2014. "Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds," European Journal of Operational Research, Elsevier, vol. 234(2), pages 491-498.
    11. Murat Köksalan & Ceren Tuncer Şakar, 2016. "An interactive approach to stochastic programming-based portfolio optimization," Annals of Operations Research, Springer, vol. 245(1), pages 47-66, October.
    12. Durbach, Ian N. & Stewart, Theodor J., 2012. "Modeling uncertainty in multi-criteria decision analysis," European Journal of Operational Research, Elsevier, vol. 223(1), pages 1-14.
    13. Zhongfeng Qin, 2018. "Uncertain random goal programming," Fuzzy Optimization and Decision Making, Springer, vol. 17(4), pages 375-386, December.
    14. Ballestero, Enrique & Bravo, Mila & Pérez-Gladish, Blanca & Arenas-Parra, Mar & Plà-Santamaria, David, 2012. "Socially Responsible Investment: A multicriteria approach to portfolio selection combining ethical and financial objectives," European Journal of Operational Research, Elsevier, vol. 216(2), pages 487-494.
    15. Durbach, Ian N. & Stewart, Theodor J., 2012. "A comparison of simplified value function approaches for treating uncertainty in multi-criteria decision analysis," Omega, Elsevier, vol. 40(4), pages 456-464.
    16. Mila Bravo & Dylan Jones & David Pla-Santamaria & Francisco Salas-Molina, 2022. "Encompassing statistically unquantifiable randomness in goal programming: an application to portfolio selection," Operational Research, Springer, vol. 22(5), pages 5685-5706, November.
    17. Álvarez-Miranda, Eduardo & Garcia-Gonzalo, Jordi & Ulloa-Fierro, Felipe & Weintraub, Andrés & Barreiro, Susana, 2018. "A multicriteria optimization model for sustainable forest management under climate change uncertainty: An application in Portugal," European Journal of Operational Research, Elsevier, vol. 269(1), pages 79-98.
    18. Muñoz, Maria M. & Ruiz, Francisco, 2009. "ISTMO: An interval reference point-based method for stochastic multiobjective programming problems," European Journal of Operational Research, Elsevier, vol. 197(1), pages 25-35, August.
    19. Bravo, Mila & Gonzalez, Ignacio, 2009. "Applying stochastic goal programming: A case study on water use planning," European Journal of Operational Research, Elsevier, vol. 196(3), pages 1123-1129, August.
    20. Álvarez-Miranda, Eduardo & Garcia-Gonzalo, Jordi & Pais, Cristobal & Weintraub, Andrés, 2019. "A multicriteria stochastic optimization framework for sustainable forest decision making under uncertainty," Forest Policy and Economics, Elsevier, vol. 103(C), pages 112-122.

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