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Robust goal programming for multi-objective portfolio selection problem
16 references·2 citing·35 second hop
Robust goal programming for multi-objective portfolio selection problem (2013)Robust goal programming for multi-objecti…A robust mean absolute deviation model for portfolio optimization (2010)A robust mean absolute deviat…Robust optimization of conditional value at risk and portfolio selection (2008)Robust optimization of condit…The Price of Robustness (2004)The Price of RobustnessRobust Asset Allocation (2004)Robust Asset AllocationWorst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Worst-Case Value-At-Risk and …LP solvable models for portfolio optimization: a classification and computational comparison (2003)LP solvable models for portfo…Selecting Portfolios with Fixed Costs and Minimum Transaction Lots (2000)Selecting Portfolios with Fix…Robust solutions of Linear Programming problems contaminated with uncertain data (2000)Robust solutions of Linear Pr…Optimization of conditional value-at-risk (2000)Optimization of conditional v…PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION (1990)PIECEWISE LINEAR RISK FUNCTIO…Goal programming for portfolio selection (1980)Goal programming for portfoli…OPTIMIZING THE PORTFOLIO SELECTION FOR MUTUAL FUNDS* (1973)OPTIMIZING THE PORTFOLIO SELE…Management Goals and Accounting for Control. (1967)Management Goals and Accounti…Management Goals and Accounting for Control (1966)Management Goals and Accounti…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Robust portfolio selection problems: a comprehensive review (2022)Robust portfolio selection pr…A novel two-phase robust portfolio selection and optimization approach under uncertainty: A case study of Tehran stock exchange (2020)A novel two-phase robust port…Robust Convex Optimization (1998)Robust solutions of uncertain linear programs (1999)Robust optimization ? methodology and applications (2002)Convex Approximations of Chance Constrained Programs (2006)Solving two-stage robust optimization problems using a column-and-constraint generation method (2013)Global Portfolio Optimization (1992)Martingale Methods in Financial Modelling (1997)Robust Portfolio Selection Problems (2003)Distributionally Robust Optimization and Its Tractable Approximations (2010)60 Years of portfolio optimization: Practical challenges and current trends (2013)Distributionally Robust Stochastic Optimization with Wasserstein Distance (2022)Portfolio Selection: Efficient Diversification of Investments (1959)Equilibrium in a Capital Asset Market (1966)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2005)Optimization Methods in Finance (2006)Portfolio Selection With Robust Estimation (2007)Portfolio Selection: Efficient Diversification of Investments. (1962)Modern Portfolio Theory and Investment Analysis. (1982)Portfolio Optimization Under a Minimax Rule (2000)A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem (2005)Conditional value-at-risk for general loss distributions (2002)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Adjustment of Stock Prices to New Information (2003)Theory and Applications of Robust Optimization (2010)Problems and methods with multiple objective functions (1971)Legitimacy Theory or Managerial Reality Construction? Corporate Social Disclosure in Marks and Spencer Plc Corporate Reports, 1969-1997 (2000)Multiple criteria decision making combined with finance: A categorized bibliographic study (2003)Maut — Multiattribute Utility Theory (2006)Corporate Social Responsibility Report Narratives and Analyst Forecast Accuracy (2017)Building composite indicators using multicriteria methods: a review (2018)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2004The Price of Robustness4,620 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 2000Robust solutions of Linear Programming problems contaminated with uncertain data1,745 cited
  • 2003Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach663 cited
  • 2004Robust Asset Allocation388 cited
  • 1967Management Goals and Accounting for Control.362 cited
  • 1966Management Goals and Accounting for Control185 cited
  • 1990PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION173 cited
  • 2000Selecting Portfolios with Fixed Costs and Minimum Transaction Lots162 cited
  • 2008Robust optimization of conditional value at risk and portfolio selection141 cited
  • 2003LP solvable models for portfolio optimization: a classification and computational comparison128 cited
  • 1980Goal programming for portfolio selection104 cited
  • 1973OPTIMIZING THE PORTFOLIO SELECTION FOR MUTUAL FUNDS*103 cited
  • 2010A robust mean absolute deviation model for portfolio optimization

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  • 2022Robust portfolio selection problems: a comprehensive review43 cited
  • 2020A novel two-phase robust portfolio selection and optimization approach under uncertainty: A case study of Tehran stock exchange41 cited