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
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;
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
DOI :
10.1109/ICCNT.2010.97
