A Multiple Objective Stochastic Portfolio Selection Program with Partial Information on Probability Distribution

Hatem Masri, F. Abdelaziz, I. Meftahi
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引用次数: 4

Abstract

In this paper, we propose a multi objective stochastic model with linear partial information on probability distribution (MSPLI) for portfolio selection problem. We apply an extended chance constrained compromise programming approach to obtain the deterministic equivalent of the MSPLImodel.
具有部分概率分布信息的多目标随机投资组合选择方案
本文提出了一个具有线性部分信息概率分布的多目标随机投资组合模型。我们应用了一种扩展的机会约束妥协规划方法来获得mspli模型的确定性等价。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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