A multiple objective stochastic portfolio selection problem with random Beta-Reference-Cited by-同舟云学术

A multiple objective stochastic portfolio selection problem with random Beta

Published:2013-08-15 Issue:6 Volume:21 Page:919-933
ISSN:0969-6016
Container-title:International Transactions in Operational Research
language:en
Short-container-title:Intl. Trans. in Op. Res.

Author:

Abdelaziz Fouad Ben¹,Masmoudi Meryem²

Affiliation:

1. Rouen Business School; Boulevard André Siegfried-76130; Mont-Saint-Aignan France

2. LARODEC, Institut Supérieur de Gestion; University of Tunis, 41 rue de la liberté; Le Bardo 2000 Tunisia

Publisher

Wiley

Subject

Management of Technology and Innovation,Management Science and Operations Research,Strategy and Management,Computer Science Applications,Business and International Management

Reference30 articles.

1. A portfolio optimization model with three objectives and discrete variables;Anagnostopoulos;Computers & Operations Research,2010

2. Multi-objective stochastic programming for portfolio selection;Ben Abdelaziz;European Journal of Operational Research,2007

3. Dual Betas from bull and bear markets: reversal of the size effect;Bhardwaj;The Journal of Financial Research,1993

4. An extension of Sharpe's single-index model: portfolio selection with expert Betas;Bilbao;The Journal of the Operational Research Society,2006

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