Combined forecasts in portfolio optimization: A generalized approach

Computers and Operations Research

Volumn 39, Issue 4, 2012, Pages 805-819

  Ustun, Ozden ^a   Kasimbeyli, Refail ^b  

^a DUMLUPINAR UNIVERSITY   (Turkey)

^b IZMIR UNIVERSITY OF ECONOMICS   (Turkey)

Author keywords

Conic scalarization; F MSG algorithm; Global optimization; Multiple objective programming; Portfolio optimization; Risk management

Indexed keywords

COMBINED FORECASTS; DISTRIBUTIONAL PROPERTY; F-MSG ALGORITHM; FORECAST ERRORS; FORECASTING ERROR; FORECASTING PERFORMANCE; FORECASTING TECHNIQUES; ISTANBUL STOCK EXCHANGE; MULTI-OBJECTIVE PROBLEM; MULTIOBJECTIVE MODELS; MULTIPLE OBJECTIVE PROGRAMMING; NONDOMINATED SOLUTIONS; OBJECTIVE FUNCTIONS; PORTFOLIO OPTIMIZATION; PORTFOLIO SELECTION PROBLEMS; SCALAR PROBLEMS; SCALARIZATION; SCALARIZATION METHOD;

ALGORITHMS; ERRORS; FINANCIAL DATA PROCESSING; FORECASTING; GLOBAL OPTIMIZATION; MATHEMATICAL MODELS; RISK MANAGEMENT;

MULTIOBJECTIVE OPTIMIZATION;

EID: 80051786586     PISSN: 03050548     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.cor.2010.09.008     Document Type: Article

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