Multi-objective stochastic programming for portfolio selection.
Fouad Ben AbdelazizBelaïd AouniRimeh El FayedhPublished in: Eur. J. Oper. Res. (2007)
Keyphrases
- portfolio selection
- multi objective
- stochastic programming
- robust optimization
- multiple objectives
- multistage stochastic
- evolutionary algorithm
- multistage
- multi objective optimization
- portfolio optimization
- linear program
- particle swarm optimization
- portfolio management
- genetic algorithm
- capacity planning
- mathematical programming
- pareto optimal
- bi objective
- objective function
- nsga ii
- financial markets
- optimal portfolio
- semidefinite programming
- short term
- probability distribution
- special case
- optimal solution