Kumar, P.; Behera, Jyotirmayee; Bhurjee, A. K. Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis. (English) Zbl 07549126 Opsearch 59, No. 1, 41-77 (2022). MSC: 90Bxx 90-08 90C90 PDFBibTeX XMLCite \textit{P. Kumar} et al., Opsearch 59, No. 1, 41--77 (2022; Zbl 07549126) Full Text: DOI
Li, Bo; Sun, Yufei; Teo, Kok Lay An analytic solution for multi-period uncertain portfolio selection problem. (English) Zbl 1491.91122 Fuzzy Optim. Decis. Mak. 21, No. 2, 319-333 (2022). MSC: 91G10 90C39 PDFBibTeX XMLCite \textit{B. Li} et al., Fuzzy Optim. Decis. Mak. 21, No. 2, 319--333 (2022; Zbl 1491.91122) Full Text: DOI
Meng, Kaiwen; Yang, Hongyu; Yang, Xiaoqi; Yu, Carisa Kwok Wai Portfolio optimization under a minimax rule revisited. (English) Zbl 1489.91237 Optimization 71, No. 4, 877-905 (2022). MSC: 91G10 90C29 PDFBibTeX XMLCite \textit{K. Meng} et al., Optimization 71, No. 4, 877--905 (2022; Zbl 1489.91237) Full Text: DOI
Li, Bo; Shu, Yadong; Sun, Yufei; Teo, Kok Lay An optimistic value-variance-entropy model of uncertain portfolio optimization problem under different risk preferences. (English) Zbl 1498.91394 Soft Comput. 25, No. 5, 3993-4001 (2021). MSC: 91G10 PDFBibTeX XMLCite \textit{B. Li} et al., Soft Comput. 25, No. 5, 3993--4001 (2021; Zbl 1498.91394) Full Text: DOI
Kim, Woo Chang; Kwon, Do-Gyun; Lee, Yongjae; Kim, Jang Ho; Lin, Changle Personalized goal-based investing via multi-stage stochastic goal programming. (English) Zbl 1466.91293 Quant. Finance 20, No. 3, 515-526 (2020). MSC: 91G10 90C15 90C29 PDFBibTeX XMLCite \textit{W. C. Kim} et al., Quant. Finance 20, No. 3, 515--526 (2020; Zbl 1466.91293) Full Text: DOI
Sun, Yufei; Aw, Ee Ling Grace; Li, Bin; Teo, Kok Lay; Sun, Jie CVaR-based robust models for portfolio selection. (English) Zbl 1449.90271 J. Ind. Manag. Optim. 16, No. 4, 1861-1871 (2020). MSC: 90C15 91G10 90C17 PDFBibTeX XMLCite \textit{Y. Sun} et al., J. Ind. Manag. Optim. 16, No. 4, 1861--1871 (2020; Zbl 1449.90271) Full Text: DOI
Li, Bo; Sun, Yufei; Aw, Grace; Teo, Kok Lay Uncertain portfolio optimization problem under a minimax risk measure. (English) Zbl 1481.91195 Appl. Math. Modelling 76, 274-281 (2019). MSC: 91G10 90C15 90C47 91G70 PDFBibTeX XMLCite \textit{B. Li} et al., Appl. Math. Modelling 76, 274--281 (2019; Zbl 1481.91195) Full Text: DOI
Li, Chunquan; Jin, Jianhua A new portfolio selection model with interval-typed random variables and the empirical analysis. (English) Zbl 1398.91532 Soft Comput. 22, No. 3, 905-920 (2018). MSC: 91G10 91G70 PDFBibTeX XMLCite \textit{C. Li} and \textit{J. Jin}, Soft Comput. 22, No. 3, 905--920 (2018; Zbl 1398.91532) Full Text: DOI
Ray, Amritansu; Majumder, Sanat Kumar Multi objective mean-variance-skewness model with Burg’s entropy and fuzzy return for portfolio optimization. (English) Zbl 1391.90567 Opsearch 55, No. 1, 107-133 (2018). MSC: 90C29 90C70 91G10 PDFBibTeX XMLCite \textit{A. Ray} and \textit{S. K. Majumder}, Opsearch 55, No. 1, 107--133 (2018; Zbl 1391.90567) Full Text: DOI
Köksalan, Murat; Şakar, Ceren Tuncer An interactive approach to stochastic programming-based portfolio optimization. (English) Zbl 1349.91246 Ann. Oper. Res. 245, No. 1-2, 47-66 (2016). MSC: 91G10 90C15 PDFBibTeX XMLCite \textit{M. Köksalan} and \textit{C. T. Şakar}, Ann. Oper. Res. 245, No. 1--2, 47--66 (2016; Zbl 1349.91246) Full Text: DOI
Sun, Yufei; Aw, Grace; Teo, Kok Lay; Zhou, Guanglu Portfolio optimization using a new probabilistic risk measure. (English) Zbl 1315.90025 J. Ind. Manag. Optim. 11, No. 4, 1275-1283 (2015). MSC: 90C05 90C20 90C90 91G10 91G80 PDFBibTeX XMLCite \textit{Y. Sun} et al., J. Ind. Manag. Optim. 11, No. 4, 1275--1283 (2015; Zbl 1315.90025) Full Text: DOI
He, Guang; Huang, Nan-jing A new particle swarm optimization algorithm with an application. (English) Zbl 1410.90267 Appl. Math. Comput. 232, 521-528 (2014). MSC: 90C59 PDFBibTeX XMLCite \textit{G. He} and \textit{N.-j. Huang}, Appl. Math. Comput. 232, 521--528 (2014; Zbl 1410.90267) Full Text: DOI
Soleimani, Hamed; Govindan, Kannan Reverse logistics network design and planning utilizing conditional value at risk. (English) Zbl 1304.90043 Eur. J. Oper. Res. 237, No. 2, 487-497 (2014). MSC: 90B06 90C15 91B30 PDFBibTeX XMLCite \textit{H. Soleimani} and \textit{K. Govindan}, Eur. J. Oper. Res. 237, No. 2, 487--497 (2014; Zbl 1304.90043) Full Text: DOI
Tuncer Şakar, Ceren; Köksalan, Murat A stochastic programming approach to multicriteria portfolio optimization. (English) Zbl 1318.91188 J. Glob. Optim. 57, No. 2, 299-314 (2013). MSC: 91G10 90C15 90C29 PDFBibTeX XMLCite \textit{C. Tuncer Şakar} and \textit{M. Köksalan}, J. Glob. Optim. 57, No. 2, 299--314 (2013; Zbl 1318.91188) Full Text: DOI
He, Guang; Huang, Nan-Jing A modified particle swarm optimization algorithm with applications. (English) Zbl 1293.90082 Appl. Math. Comput. 219, No. 3, 1053-1060 (2012). MSC: 90C59 91G80 90C90 PDFBibTeX XMLCite \textit{G. He} and \textit{N.-J. Huang}, Appl. Math. Comput. 219, No. 3, 1053--1060 (2012; Zbl 1293.90082) Full Text: DOI
Yu, Mei; Wang, Shouyang Dynamic optimal portfolio with maximum absolute deviation model. (English) Zbl 1250.91096 J. Glob. Optim. 53, No. 2, 363-380 (2012). MSC: 91G10 90C39 91G80 49L20 90C05 PDFBibTeX XMLCite \textit{M. Yu} and \textit{S. Wang}, J. Glob. Optim. 53, No. 2, 363--380 (2012; Zbl 1250.91096) Full Text: DOI
Konno, Hiroshi; Tanaka, Katsuhiro; Yamamoto, Rei Construction of a portfolio with shorter downside tail and longer upside tail. (English) Zbl 1219.90168 Comput. Optim. Appl. 48, No. 2, 199-212 (2011). MSC: 90C32 90C90 PDFBibTeX XMLCite \textit{H. Konno} et al., Comput. Optim. Appl. 48, No. 2, 199--212 (2011; Zbl 1219.90168) Full Text: DOI
Polak, George G.; Rogers, David F.; Sweeney, Dennis J. Risk management strategies via minimax portfolio optimization. (English) Zbl 1205.91091 Eur. J. Oper. Res. 207, No. 1, 409-419 (2010). MSC: 91B30 91G10 90C08 PDFBibTeX XMLCite \textit{G. G. Polak} et al., Eur. J. Oper. Res. 207, No. 1, 409--419 (2010; Zbl 1205.91091) Full Text: DOI
Ehrgott, Matthias; Waters, Chris; Kasimbeyli, Refail; Ustun, Ozden Multiobjective programming and multiattribute utility functions in portfolio optimization. (English) Zbl 07683533 INFOR 47, No. 1, 31-42 (2009). MSC: 90-XX PDFBibTeX XMLCite \textit{M. Ehrgott} et al., INFOR 47, No. 1, 31--42 (2009; Zbl 07683533) Full Text: DOI
Hasuike, Takashi; Ishii, Hiroaki Probability maximization models for portfolio selection under ambiguity. (English) Zbl 1204.91121 CEJOR, Cent. Eur. J. Oper. Res. 17, No. 2, 159-180 (2009). MSC: 91G10 90C15 PDFBibTeX XMLCite \textit{T. Hasuike} and \textit{H. Ishii}, CEJOR, Cent. Eur. J. Oper. Res. 17, No. 2, 159--180 (2009; Zbl 1204.91121) Full Text: DOI
Hasuike, Takashi; Katagiri, Hideki; Ishii, Hiroaki Portfolio selection problems with random fuzzy variable returns. (English) Zbl 1186.91193 Fuzzy Sets Syst. 160, No. 18, 2579-2596 (2009). MSC: 91G10 90C70 90C20 90C15 90C30 PDFBibTeX XMLCite \textit{T. Hasuike} et al., Fuzzy Sets Syst. 160, No. 18, 2579--2596 (2009; Zbl 1186.91193) Full Text: DOI
Yu, Bosco Wing-Tong; Pang, Wan Kai; Troutt, Marvin D.; Hou, Shui Hung Objective comparisons of the optimal portfolios corresponding to different utility functions. (English) Zbl 1176.90637 Eur. J. Oper. Res. 199, No. 2, 604-610 (2009). MSC: 90C46 91G10 PDFBibTeX XMLCite \textit{B. W. T. Yu} et al., Eur. J. Oper. Res. 199, No. 2, 604--610 (2009; Zbl 1176.90637) Full Text: DOI
Ehrgott, Matthias Multiobjective (Combinatorial) optimisation-some thoughts on applications. (English) Zbl 1176.90531 Barichard, Vincent (ed.) et al., Multiobjective programming and goal programming. Theoretical results and practical applications. Selected papers based on the presentations at the international conference on multiobjective programming and goal programming (MOP/GP 2006), Tours, France, June 12–14, 2006. Berlin: Springer (ISBN 978-3-540-85645-0/pbk; 978-3-540-85646-7/ebook). Lecture Notes in Economics and Mathematical Systems 618, 267-282 (2009). MSC: 90C29 PDFBibTeX XMLCite \textit{M. Ehrgott}, Lect. Notes Econ. Math. Syst. 618, 267--282 (2009; Zbl 1176.90531) Full Text: DOI
Benati, Stefano; Rizzi, Romeo A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem. (English) Zbl 1137.91426 Eur. J. Oper. Res. 176, No. 1, 423-434 (2007). MSC: 91B28 90C11 PDFBibTeX XMLCite \textit{S. Benati} and \textit{R. Rizzi}, Eur. J. Oper. Res. 176, No. 1, 423--434 (2007; Zbl 1137.91426) Full Text: DOI
Armagan Tarim, S.; Manandhar, Suresh; Walsh, Toby Stochastic constraint programming: A scenario-based approach. (English) Zbl 1103.68828 Constraints 11, No. 1, 53-80 (2006). MSC: 68T37 PDFBibTeX XMLCite \textit{S. Armagan Tarim} et al., Constraints 11, No. 1, 53--80 (2006; Zbl 1103.68828) Full Text: DOI arXiv
Krzemienowski, Adam; Ogryczak, Włodzimierz On extending the LP computable risk measures to account downside risk. (English) Zbl 1085.90029 Comput. Optim. Appl. 32, No. 1-2, 133-160 (2005). MSC: 90C05 91B28 91B70 PDFBibTeX XMLCite \textit{A. Krzemienowski} and \textit{W. Ogryczak}, Comput. Optim. Appl. 32, No. 1--2, 133--160 (2005; Zbl 1085.90029) Full Text: DOI
Adachi, Jeff; Gupta, Aparna Simulation-based parametric optimization for long-term asset allocation using behavioral utilities. (English) Zbl 1129.91017 Appl. Math. Modelling 29, No. 4, 309-320 (2005). MSC: 91B28 PDFBibTeX XMLCite \textit{J. Adachi} and \textit{A. Gupta}, Appl. Math. Modelling 29, No. 4, 309--320 (2005; Zbl 1129.91017) Full Text: DOI
Ehrgott, Matthias; Klamroth, Kathrin; Schwehm, Christian An MCDM approach to portfolio optimization. (English) Zbl 1043.91016 Eur. J. Oper. Res. 155, No. 3, 752-770 (2004). MSC: 91B06 91G10 90C59 PDFBibTeX XMLCite \textit{M. Ehrgott} et al., Eur. J. Oper. Res. 155, No. 3, 752--770 (2004; Zbl 1043.91016) Full Text: DOI
Benati, Stefano The optimal portfolio problem with coherent risk measure constraints. (English) Zbl 1033.90060 Eur. J. Oper. Res. 150, No. 3, 572-584 (2003). MSC: 90B60 91B28 91B30 PDFBibTeX XMLCite \textit{S. Benati}, Eur. J. Oper. Res. 150, No. 3, 572--584 (2003; Zbl 1033.90060) Full Text: DOI
Chen, Shu-ping; Li, Chong; Li, Sheng-hong; Wu, Xiong-wei Portfolio optimization model with transaction costs. (English) Zbl 1042.91037 Acta Math. Appl. Sin., Engl. Ser. 18, No. 2, 231-248 (2002). Reviewer: Klaus Schürger (Bonn) MSC: 91G10 90C26 PDFBibTeX XMLCite \textit{S.-p. Chen} et al., Acta Math. Appl. Sin., Engl. Ser. 18, No. 2, 231--248 (2002; Zbl 1042.91037) Full Text: DOI
Michalowski, Wojtek; Ogryczak, Włodzimierz Extending the MAD portfolio optimization model to incorporate downside risk aversion. (English) Zbl 1130.91342 Nav. Res. Logist. 48, No. 3, 185-200 (2001). MSC: 91G10 90C05 90C20 91B30 PDFBibTeX XMLCite \textit{W. Michalowski} and \textit{W. Ogryczak}, Nav. Res. Logist. 48, No. 3, 185--200 (2001; Zbl 1130.91342) Full Text: DOI Link
Chang, T.-J.; Meade, N.; Beasley, J. E.; Sharaiha, Y. M. Heuristics for cardinality constrained portfolio optimization. (English) Zbl 1032.91074 Comput. Oper. Res. 27, No. 13, 1271-1302 (2000). MSC: 91G10 90C59 90B50 65K05 PDFBibTeX XMLCite \textit{T. J. Chang} et al., Comput. Oper. Res. 27, No. 13, 1271--1302 (2000; Zbl 1032.91074) Full Text: DOI
Kenyon, C. M.; Savage, S.; Ball, B. Equivalence of linear deviation about the mean and mean absolute deviation about the mean objective functions. (English) Zbl 0957.91046 Oper. Res. Lett. 24, No. 4, 181-185 (1999). MSC: 91B28 91C15 PDFBibTeX XMLCite \textit{C. M. Kenyon} et al., Oper. Res. Lett. 24, No. 4, 181--185 (1999; Zbl 0957.91046) Full Text: DOI
Cooper, W. W.; Lelas, V.; Sueyoshi, T. Goal programming models and their duality relations for use in evaluating security portfolio and regression relations. (English) Zbl 0930.91013 Eur. J. Oper. Res. 98, No. 2, 431-443 (1997). MSC: 91B28 90C29 90C90 PDFBibTeX XMLCite \textit{W. W. Cooper} et al., Eur. J. Oper. Res. 98, No. 2, 431--443 (1997; Zbl 0930.91013) Full Text: DOI
Konno, Hiroshi; Kobayashi, Katsunari An integrated stock-bond portfolio optimization model. (English) Zbl 0901.90014 J. Econ. Dyn. Control 21, No. 8-9, 1427-1444 (1997). MSC: 91G10 90C90 90C05 90C20 90C06 PDFBibTeX XMLCite \textit{H. Konno} and \textit{K. Kobayashi}, J. Econ. Dyn. Control 21, No. 8--9, 1427--1444 (1997; Zbl 0901.90014) Full Text: DOI
Konno, Hiroshi; Shirakawa, Hiroshi Equilibrium relations in a capital asset market: A mean absolute deviation approach. (English) Zbl 1154.91455 Financ. Eng. Jpn. Mark. 1, No. 1, 21-35 (1994). MSC: 91B28 91B52 PDFBibTeX XMLCite \textit{H. Konno} and \textit{H. Shirakawa}, Financ. Eng. Jpn. Mark. 1, No. 1, 21--35 (1994; Zbl 1154.91455) Full Text: DOI
Konno, Hiroshi; Shirakawa, Hiroshi; Yamazaki, Hiroaki A mean-absolute deviation-skewness portfolio optimization model. (English) Zbl 0785.90014 Ann. Oper. Res. 45, No. 1-4, 205-220 (1993). MSC: 91G10 90C90 90C05 PDFBibTeX XMLCite \textit{H. Konno} et al., Ann. Oper. Res. 45, No. 1--4, 205--220 (1993; Zbl 0785.90014) Full Text: DOI
King, Alan J. Asymmetric risk measures and tracking models for portfolio optimization under uncertainty. (English) Zbl 0785.90013 Ann. Oper. Res. 45, No. 1-4, 165-177 (1993). MSC: 91G10 90C90 90C15 90C20 PDFBibTeX XMLCite \textit{A. J. King}, Ann. Oper. Res. 45, No. 1--4, 165--177 (1993; Zbl 0785.90013) Full Text: DOI
Kijima, Masaaki; Ohnishi, Masamitsu Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities. (English) Zbl 0785.90012 Ann. Oper. Res. 45, No. 1-4, 147-163 (1993). MSC: 91B28 91B16 PDFBibTeX XMLCite \textit{M. Kijima} and \textit{M. Ohnishi}, Ann. Oper. Res. 45, No. 1--4, 147--163 (1993; Zbl 0785.90012) Full Text: DOI
Dantzig, George B.; Infanger, Gerd Multi-stage stochastic linear programs for portfolio optimization. (English) Zbl 0785.90008 Ann. Oper. Res. 45, No. 1-4, 59-76 (1993). MSC: 91G10 90C15 PDFBibTeX XMLCite \textit{G. B. Dantzig} and \textit{G. Infanger}, Ann. Oper. Res. 45, No. 1--4, 59--76 (1993; Zbl 0785.90008) Full Text: DOI