{"title":"A Multiple Objective Stochastic Portfolio Selection Program with Partial Information on Probability Distribution","authors":"Hatem Masri, F. Abdelaziz, I. Meftahi","doi":"10.1109/ICCNT.2010.97","DOIUrl":null,"url":null,"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.","PeriodicalId":135847,"journal":{"name":"2010 Second International Conference on Computer and Network Technology","volume":"115 2 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2010-04-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"4","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"2010 Second International Conference on Computer and Network Technology","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/ICCNT.2010.97","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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.