Multi-objective probabilistically constrained programs with variable risk : models for multi-portfolio financial optimization
Year of publication: |
16 July 2016
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Authors: | Lejeune, Miguel A. ; Shen, Siqian |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 252.2016, 2 (16.7.), p. 522-539
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Subject: | Multi-portfolio optimization | Probabilistic constraint | Variable reliability | Multi-objective programming | Boolean programming | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Multikriterielle Entscheidungsanalyse | Multi-criteria analysis | Wahrscheinlichkeitsrechnung | Probability theory | Portfolio-Management | Portfolio selection |
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