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Volumn 13, Issue FINANCIAL MODELIN, 2009, Pages 3-18

Lexicographic and weighting approach to multi-criteria portfolio optimization by mixed integer programming

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EID: 84871005318     PISSN: 02768976     EISSN: None     Source Type: Book Series    
DOI: 10.1108/S0276-8976(2009)0000013003     Document Type: Article
Times cited : (20)

References (18)
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    • A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
    • DOI 10.1016/j.ejor.2005.07.020, PII S0377221705005813
    • Benati, S., & Rizzi. R. (2007). A mixed integer linear programming formulation of the optimal mean/value-at-risk portfolio problem. European Journal of Operational Research. 176, 423-434. (Pubitemid 44442701)
    • (2007) European Journal of Operational Research , vol.176 , Issue.1 , pp. 423-434
    • Benati, S.1    Rizzi, R.2
  • 8
    • 26444504174 scopus 로고    scopus 로고
    • Multiple criteria linear programming model for portfolio selection
    • Ogryczak, W. (2000). Multiple criteria linear programming model for portfolio selection. Annals of Operations Research, 97, 143-162.
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    • Ogryczak, W.1
  • 9
    • 80052228847 scopus 로고    scopus 로고
    • Value-at-risk vs. Conditional value-at-risk in risk management and optimization
    • In: Z.-L. Chen, S. Raghavan, & P. Gray (Eds), October 12-15, 2008
    • Sarykalin, S., Serraino, G., Uryasev, S. (2008) Value-at-Risk vs. Conditional Value-at-risk in risk management and optimization. In: Z.-L. Chen, S. Raghavan, & P. Gray (Eds), Tutorials in operations research, INFORMS Annual Meeting, October 12-15, 2008.
    • (2008) Tutorials in Operations Research, INFORMS Annual Meeting
    • Sarykalin, S.1    Serraino, G.2    Uryasev, S.3
  • 12
    • 51849147987 scopus 로고    scopus 로고
    • A triple-objective portfolio optimization by mixed integer linear programming
    • In: H. Howaniec & W. Waszkielewicz (Eds), Monographic of ATH University of Bielsko-Biala, Poland
    • Sawik, B. (2008a). A triple-objective portfolio optimization by mixed integer linear programming. In: H. Howaniec & W. Waszkielewicz (Eds), Company management-financial aspects, information-communication and operational. Monographic of ATH University of Bielsko-Biala, Poland.
    • (2008) Company Management-financial Aspects, Information-communication and Operational
    • Sawik, B.1
  • 14
    • 51849137948 scopus 로고    scopus 로고
    • A three stage lexicographic approach for multi-criteria portfolio optimization by mixed integer programming
    • Sawik, B. (2008c). A three stage lexicographic approach for multi-criteria portfolio optimization by mixed integer programming. Przeglqd Elektrotechniczny, 84(9), 108-112.
    • (2008) Przeglqd Elektrotechniczny , vol.84 , Issue.9 , pp. 108-112
    • Sawik, B.1
  • 15
    • 84967369360 scopus 로고
    • A linear programming approximation for the general portfolio analysis problem
    • Sharpe, W. F. (1971). A linear programming approximation for the general portfolio analysis problem. Journal of Financial and Quantitative Analysis, 6, 1263-1275.
    • (1971) Journal of Financial and Quantitative Analysis , vol.6 , pp. 1263-1275
    • Sharpe, W.F.1
  • 16
    • 0000706540 scopus 로고
    • Linear programming models for portfolio optimization
    • Speranza, M. G. (1993). Linear programming models for portfolio optimization. Finance, 14, 107-123.
    • (1993) Finance , vol.14 , pp. 107-123
    • Speranza, M.G.1
  • 18
    • 67349113323 scopus 로고    scopus 로고
    • Advances in cone-based preference modeling for decision making with multiple criteria
    • Wiecek, M. M. (2007). Advances in cone-based preference modeling for decision making with multiple criteria. Decision Making in Manufacturing and Services, AGH, 1(1-2), 153-173.
    • (2007) Decision Making in Manufacturing and Services, AGH , vol.1 , Issue.1-2 , pp. 153-173
    • Wiecek, M.M.1


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