A stochastic programming model for portfolio selection

Journal of the Chinese Institute of Industrial Engineers

Volumn 19, Issue 3, 2002, Pages 31-41

  Chang, Kuo Hwa ^a   Chen, Hsiang Ju ^a   Liu, Chang Yuh ^a  

^a CHUNG YUAN CHRISTIAN UNIVERSITY   (Taiwan)

Author keywords

Portfolio optimization; Stochastic programming; Transaction costs

Indexed keywords

COSTS; DATA REDUCTION; INDUSTRIAL ENGINEERING; MARKETING; MATHEMATICAL MODELS; OPTIMIZATION;

ARITHMETIC MEANS; OPTIMIZATION PROBLEMS; PORTFOLIO OPTIMIZATION; TRANSACTION COSTS;

STOCHASTIC PROGRAMMING;

EID: 24644442162     PISSN: 10170669     EISSN: 21517606     Source Type: Journal    
DOI: 10.1080/10170660209509202     Document Type: Article

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