A multiple objective stochastic portfolio selection problem with random Beta.
Fouad Ben AbdelazizMeryem MasmoudiPublished in: Int. Trans. Oper. Res. (2014)
Keyphrases
- multiple objectives
- portfolio selection
- multi objective
- problems involving
- pareto optimal
- multi objective optimization
- linear programming problems
- goal programming
- shortest path problem
- knapsack problem
- bi objective
- stochastic optimization
- fitness function
- decision variables
- transaction costs
- genetic algorithm
- multi objective particle swarm optimization
- learning automata
- dynamic programming
- special case