Risk-Return Trade-off with the Scenario Approach in Practice: A Case Study in Portfolio Selection
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DOI: 10.1007/s10957-012-0074-x
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- Tanner, Matthew W. & Ntaimo, Lewis, 2010. "IIS branch-and-cut for joint chance-constrained stochastic programs and application to optimal vaccine allocation," European Journal of Operational Research, Elsevier, vol. 207(1), pages 290-296, November.
- Yi Wang & Zhiping Chen & Kecun Zhang, 2007. "A CHANCE-CONSTRAINED PORTFOLIO SELECTION PROBLEM UNDERt-DISTRIBUTION," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 24(04), pages 535-556.
- Miguel Lejeune, 2011. "A VaR Black–Litterman model for the construction of absolute return fund-of-funds," Quantitative Finance, Taylor & Francis Journals, vol. 11(10), pages 1489-1501.
- Miguel A. Lejeune, 2012. "Pattern-Based Modeling and Solution of Probabilistically Constrained Optimization Problems," Operations Research, INFORMS, vol. 60(6), pages 1356-1372, December.
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Cited by:
- Reich, Daniel, 2013. "A linear programming approach for linear programs with probabilistic constraints," European Journal of Operational Research, Elsevier, vol. 230(3), pages 487-494.
- Azad, Nader & Hassini, Elkafi, 2019. "Recovery strategies from major supply disruptions in single and multiple sourcing networks," European Journal of Operational Research, Elsevier, vol. 275(2), pages 481-501.
- Algo Carè & Simone Garatti & Marco C. Campi, 2014. "FAST---Fast Algorithm for the Scenario Technique," Operations Research, INFORMS, vol. 62(3), pages 662-671, June.
- Ramponi, Federico Alessandro & Campi, Marco C., 2018. "Expected shortfall: Heuristics and certificates," European Journal of Operational Research, Elsevier, vol. 267(3), pages 1003-1013.
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Keywords
Chance constrained programming; Scenario approximation; Portfolio selection;All these keywords.
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