A chance constrained recourse approach for the portfolio selection problem
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Decision Sciences
Link
http://link.springer.com/content/pdf/10.1007/s10479-015-1844-2.pdf
Reference11 articles.
1. Ben Abdelaziz, F. (2012). Solution approaches for the multiobjective stochastic programming. European Journal of Operational Research, 216(1), 1–16.
2. Ben Abdelaziz, F., Aouni, B., & El Fayedh, R. (2007). Multi-objective stochastic programming for portfolio selection. European Journal of Operational Research, 177, 1811–1823.
3. Ben Tal, A., & Teboulle, M. (1991). Portfolio theory for the recourse certainty equivalent maximizing investor. Annals of Operations Research, 31(1), 479–500.
4. Birge, J. R., & Louveaux, F. (1997). Introduction to stochastic programming. Berlin: Springer.
5. Charnes, A., & Cooper, W. W. (1963). Deterministic equivalents for optimizing and satisfying under chance constraints. Operations Research, 11, 18–39.
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