IDEAS home Printed from https://ideas.repec.org/a/eee/ejores/v177y2007i3p1811-1823.html
   My bibliography  Save this article

Multi-objective stochastic programming for portfolio selection

Author

Listed:
  • Abdelaziz, Fouad Ben
  • Aouni, Belaid
  • Fayedh, Rimeh El

Abstract

No abstract is available for this item.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:ejores:v:177:y:2007:i:3:p:1811-1823
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0377-2217(05)00664-8
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Liu, Liping, 1999. "Approximate portfolio analysis," European Journal of Operational Research, Elsevier, vol. 119(1), pages 35-49, November.
    2. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    3. Fred D. Arditti, 1967. "Risk And The Required Return On Equity," Journal of Finance, American Finance Association, vol. 22(1), pages 19-36, March.
    4. Prakash, Arun J. & Chang, Chun-Hao & Pactwa, Therese E., 2003. "Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets," Journal of Banking & Finance, Elsevier, vol. 27(7), pages 1375-1390, July.
    5. A. Charnes & W. W. Cooper & R. O. Ferguson, 1955. "Optimal Estimation of Executive Compensation by Linear Programming," Management Science, INFORMS, vol. 1(2), pages 138-151, January.
    6. Włodzimierz Ogryczak, 2000. "Multiple criteria linear programming model for portfolio selection," Annals of Operations Research, Springer, vol. 97(1), pages 143-162, December.
    7. Paul A. Samuelson, 1970. "The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 37(4), pages 537-542.
    8. Shing, Chue & Nagasawa, Hiroyuki, 1999. "Interactive decision system in stochastic multiobjective portfolio selection," International Journal of Production Economics, Elsevier, vol. 60(1), pages 187-193, April.
    9. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    10. A. Charnes & W. W. Cooper, 1959. "Chance-Constrained Programming," Management Science, INFORMS, vol. 6(1), pages 73-79, October.
    11. Haim Levy, 1992. "Stochastic Dominance and Expected Utility: Survey and Analysis," Management Science, INFORMS, vol. 38(4), pages 555-593, April.
    12. Aouni, Belaid & Ben Abdelaziz, Foued & Martel, Jean-Marc, 2005. "Decision-maker's preferences modeling in the stochastic goal programming," European Journal of Operational Research, Elsevier, vol. 162(3), pages 610-618, May.
    13. Kumar, P C & Philippatos, George C & Ezzell, John R, 1978. "Goal Programming and the Selection of Portfolios by Dual-Purpose Funds," Journal of Finance, American Finance Association, vol. 33(1), pages 303-310, March.
    14. Ballestero, Enrique, 2001. "Stochastic goal programming: A mean-variance approach," European Journal of Operational Research, Elsevier, vol. 131(3), pages 476-481, June.
    15. William F. Sharpe, 1967. "A Linear Programming Algorithm for Mutual Fund Portfolio Selection," Management Science, INFORMS, vol. 13(7), pages 499-510, March.
    16. 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.
    17. Steuer, Ralph E. & Na, Paul, 2003. "Multiple criteria decision making combined with finance: A categorized bibliographic study," European Journal of Operational Research, Elsevier, vol. 150(3), pages 496-515, November.
    18. Foued, Ben Abdelaziz & Sameh, Mejri, 2001. "Application of goal programming in a multi-objective reservoir operation model in Tunisia," European Journal of Operational Research, Elsevier, vol. 133(2), pages 352-361, January.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Aouni, Belaid & Colapinto, Cinzia & La Torre, Davide, 2014. "Financial portfolio management through the goal programming model: Current state-of-the-art," European Journal of Operational Research, Elsevier, vol. 234(2), pages 536-545.
    2. 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.
    3. 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.
    4. 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.
    5. Ghahtarani, Alireza & Najafi, Amir Abbas, 2013. "Robust goal programming for multi-objective portfolio selection problem," Economic Modelling, Elsevier, vol. 33(C), pages 588-592.
    6. Amritansu Ray & Sanat Kumar Majumder, 2018. "Multi objective mean–variance–skewness model with Burg’s entropy and fuzzy return for portfolio optimization," OPSEARCH, Springer;Operational Research Society of India, vol. 55(1), pages 107-133, March.
    7. Li, Xiang & Qin, Zhongfeng & Kar, Samarjit, 2010. "Mean-variance-skewness model for portfolio selection with fuzzy returns," European Journal of Operational Research, Elsevier, vol. 202(1), pages 239-247, April.
    8. Chunhachinda, Pornchai & Dandapani, Krishnan & Hamid, Shahid & Prakash, Arun J., 1997. "Portfolio selection and skewness: Evidence from international stock markets," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 143-167, February.
    9. Alireza Azimian & Belaid Aouni, 2017. "Supply chain management through the stochastic goal programming model," Annals of Operations Research, Springer, vol. 251(1), pages 351-365, April.
    10. 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.
    11. 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.
    12. Abdelaziz, Fouad Ben, 2012. "Solution approaches for the multiobjective stochastic programming," European Journal of Operational Research, Elsevier, vol. 216(1), pages 1-16.
    13. Walter Briec & Kristiaan Kerstens & Octave Jokung, 2007. "Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach," Management Science, INFORMS, vol. 53(1), pages 135-149, January.
    14. Emmanuel Jurczenko & Bertrand Maillet & Paul Merlin, 2008. "Efficient Frontier for Robust Higher-order Moment Portfolio Selection," Post-Print halshs-00336475, HAL.
    15. Hatem Masri, 2017. "A multiple stochastic goal programming approach for the agent portfolio selection problem," Annals of Operations Research, Springer, vol. 251(1), pages 179-192, April.
    16. Wang, Chou-Wen & Liu, Kai & Li, Bin & Tan, Ken Seng, 2022. "Portfolio optimization under multivariate affine generalized hyperbolic distributions," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 49-66.
    17. Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci, 2017. "Stochastic Dominance Analysis Without the Independence Axiom," Management Science, INFORMS, vol. 63(4), pages 1097-1109, April.
    18. Eric Jondeau & Michael Rockinger, 2005. "Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?," FAME Research Paper Series rp132, International Center for Financial Asset Management and Engineering.
    19. Apostolos Xanthopoulos Ph.D, 2014. "Financial Crisis, Intervention and Performance Measurement," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(4), pages 14-35.
    20. Gourieroux, C. & Jouneau, F., 1999. "Econometrics of efficient fitted portfolios," Journal of Empirical Finance, Elsevier, vol. 6(1), pages 87-118, January.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:177:y:2007:i:3:p:1811-1823. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eor .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.