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Interactive decision system in stochastic multiobjective portfolio selection

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  • Shing, Chue
  • Nagasawa, Hiroyuki

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  • 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.
    • Handle: RePEc:eee:proeco:v:60-61:y:1999:i:1:p:187-193
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    References listed on IDEAS

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    1. Hiroshi Konno & Hiroaki Yamazaki, 1991. "Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market," Management Science, INFORMS, vol. 37(5), pages 519-531, May.
    2. Shawin Lee & Kuo-Ping Chang, 1995. "Mean-Variance-Instability Portfolio Analysis: A Case of Taiwan's Stock Market," Management Science, INFORMS, vol. 41(7), pages 1151-1157, July.
    3. Kroll, Yoram & Levy, Haim & Markowitz, Harry M, 1984. "Mean-Variance versus Direct Utility Maximization," Journal of Finance, American Finance Association, vol. 39(1), pages 47-61, March.
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    Cited by:

    1. 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.
    2. 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.
    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. 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.
    5. Perez Gladish, B. & Jones, D.F. & Tamiz, M. & Bilbao Terol, A., 2007. "An interactive three-stage model for mutual funds portfolio selection," Omega, Elsevier, vol. 35(1), pages 75-88, February.
    6. Bilbao, A. & Arenas, M. & Rodriguez, M.V. & Antomil, J., 2007. "On constructing expert Betas for single-index model," European Journal of Operational Research, Elsevier, vol. 183(2), pages 827-847, December.
    7. Farhad Hassanzadeh & Hamid Nemati & Minghe Sun, 2013. "Robust Optimization for Interactive Multiobjective Programming with Imprecise Information Applied to R&D Project Portfolio Selection," Working Papers 0194mss, College of Business, University of Texas at San Antonio.
    8. Xu, Jiuping & Tao, Zhimiao, 2012. "A class of multi-objective equilibrium chance maximization model with twofold random phenomenon and its application to hydropower station operation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 85(C), pages 11-33.
    9. 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.
    10. Hassanzadeh, Farhad & Nemati, Hamid & Sun, Minghe, 2014. "Robust optimization for interactive multiobjective programming with imprecise information applied to R&D project portfolio selection," European Journal of Operational Research, Elsevier, vol. 238(1), pages 41-53.

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