DocumentCode
2498423
Title
A Multiple Objective Stochastic Portfolio Selection Program with Partial Information on Probability Distribution
Author
Masri, Hatem ; Ben Abdelaziz, Fouad ; Meftahi, Ines
Author_Institution
Fac. of Econ. Manage. & Inf. Syst., Univ. of Nizwa, Nizwa, Oman
fYear
2010
fDate
23-25 April 2010
Firstpage
536
Lastpage
539
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 MSPLI model.
Keywords
investment; mathematical programming; statistical distributions; stochastic processes; stock markets; chance constrained compromise programming approach; multiple objective stochastic portfolio; partial information; portfolio selection problem; probability distribution; Computer network management; Conference management; Engineering management; Portfolios; Probability distribution; Security; Stochastic processes; Stochastic systems; Stock markets; Technology management; Multiobjective programming; Stochastic;
fLanguage
English
Publisher
ieee
Conference_Titel
Computer and Network Technology (ICCNT), 2010 Second International Conference on
Conference_Location
Bangkok
Print_ISBN
978-0-7695-4042-9
Electronic_ISBN
978-1-4244-6962-8
Type
conf
DOI
10.1109/ICCNT.2010.97
Filename
5474442
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