An Application of Chance Constrained Programming to Portfolio Selection in a Casualty Insurance Firm
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DOI: 10.1287/mnsc.15.10.B512
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Cited by:
- Li, S. X., 1995. "An insurance and investment portfolio model using chance constrained programming," Omega, Elsevier, vol. 23(5), pages 577-585, October.
- Ümit Sakallı & Ömer Baykoç & Burak Birgören, 2011. "Stochastic optimization for blending problem in brass casting industry," Annals of Operations Research, Springer, vol. 186(1), pages 141-157, June.
- Bismark Singh & Bernard Knueven, 2021. "Lagrangian relaxation based heuristics for a chance-constrained optimization model of a hybrid solar-battery storage system," Journal of Global Optimization, Springer, vol. 80(4), pages 965-989, August.
- D. K. Mohanty & Avik Pradhan & M. P. Biswal, 2020. "Chance constrained programming with some non-normal continuous random variables," OPSEARCH, Springer;Operational Research Society of India, vol. 57(4), pages 1281-1298, December.
- Dillon, John L., 1971. "An Expository Review of Bernoullian Decision Theory in Agriculture: Is Utility Futility?," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 39(01), pages 1-78, March.
- Li, Susan X. & Huang, Zhimin, 1996. "Determination of the portfolio selection for a property-liability insurance company," European Journal of Operational Research, Elsevier, vol. 88(2), pages 257-268, January.
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