Goal-based investing based on multi-stage robust portfolio optimization
Author:
Funder
National Assembly
EDHEC Business School
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Decision Sciences
Link
https://link.springer.com/content/pdf/10.1007/s10479-021-04473-7.pdf
Reference48 articles.
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2. Aouni, B., Ben Abdelaziz, F., & Martel, J.-M. (2005). Decision maker’s preferences modeling in the stochastic goal programming. European Journal of Operational Research, 162, 610–618.
3. Aouni, B., Colapinto, C., & La Torre, D. (2014). Financial portfolio management through the goal programming model: Current state-of-the-art. European Journal of Operational Research, 234(2), 536–545.
4. Ballestero, E. (2001). Stochastic goal programming: A mean–variance approach. European Journal of Operational Research, 131(3), 476–481.
5. Ben Abdelaziz, F., Aouni, B., & El Fayedh, R. (2007). Multi-objective stochastic programming for portfolio selection. European Journal of Operational Research, 177(3), 1811–1823.
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