A multiple objective stochastic portfolio selection problem with random Beta
Year of publication: |
2014
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Authors: | Ben Abdelaziz, Fouad ; Masmoudi, Meryem |
Published in: |
International transactions in operational research : ITOR ; a journal of the International Federation of Operational Research Societies (IFORS). - Oxford : Wiley, ISSN 0969-6016, ZDB-ID 1213721-2. - Vol. 21.2014, 6, p. 919-933
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Subject: | protfolio selection | multiple objective stochastic programming | stochastic goal programmin | Beta | risk measures | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Theorie | Theory | Betafaktor | Beta risk | Multikriterielle Entscheidungsanalyse | Multi-criteria analysis |
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