Multi-objective probabilistically constrained programs with variable risk : models for multi-portfolio financial optimization
Miguel A. Lejeune, Siqian Shen
| 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 | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Multikriterielle Entscheidungsanalyse | Multi-criteria analysis | Wahrscheinlichkeitsrechnung | Probability theory | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2016.01.039 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011457705