Multi-objective stochastic programming for portfolio selection
By F. Abdelaziz, B. Aouni, Rimeh El Fayedh. European Journal of Operational Research, 2007
304 citations recorded by the source corpus.
Subfields: Control and Systems Engineering, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/82c9b88a961b768b622e4a440e5e13d8aea589a7
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In Control and Systems Engineering
In Management Science and Operations Research
Citations in the corpus
- Tri-criterion modeling for constructing more-sustainable mutual funds (2015, methodology): “This attracts us to the class of procedures such as suggested by Hallerbach, Ning, Soppe, and Spronk (2004), Ben Abdelaziz, Aouni, and El Fayedh (2007), Ballestero, Bravo, PérezGladish, Arenas-Parra, and Plà-Santamaria (2012), Xidonas, Mavrotas, Krintas, Psarras, and Zopounidis (2012), Hirschberger,”
- Mean-variance models for portfolio selection with fuzzy random returns (2009, unknown): “Following Markowitz’s work, a number of portfolio selection models have been proposed in stochastic environment such as chance-constrained programming model [2, 3], mean-absolute deviation model [4, 5], mean-lower-partial moments model [6], minimax models [7, 8] and various mean-variance models [ 9 ”