ROBUST MULTI-PERIOD AND MULTI-OBJECTIVE PORTFOLIO SELECTION

被引：7

作者：

Jiang, Lin ^{[1
]}

Wang, Song ^{[1
]}

机构：

[1] Curtin Univ, Dept Math & Stat, GPO Box U1987, Perth, WA 6845, Australia

来源：

JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION | 2021年 / 17卷 / 02期

关键词：

Portfolio selection; robust optimization; multi-objective optimization; weighted-sum; OPTIMIZATION; ALGORITHM;

D O I：

10.3934/jimo.2019130

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

In this paper, a multi-period multi-objective portfolio selection problem with uncertainty is studied. Under the assumption that the uncertainty set is ellipsoidal, the robust counterpart of the proposed problem can be transformed into a standard multi-objective optimization problem. A weighted-sum approach is then introduced to obtain Pareto front of the problem. Numerical examples will be presented to illustrate the proposed method and validate the effectiveness and efficiency of the model developed.

引用

页码：695 / 709

页数：15

共 50 条

[1] Interval multi-objective programming methods for solving multi-period portfolio selection problems
Sun, Jing
Xiong, Yan
Zhang, Heng
Liu, Zhi-Ping
[J]. Kongzhi yu Juece/Control and Decision, 2020, 35 (03): : 645 - 650
[2] An Intelligent Parallel Hybrid Algorithm for Multi-Objective Multi-Period Portfolio Selection Models with Fuzzy Random Returns
Li, Chen
Wu, Yulei
Lu, Zhonghua
Hu, Yonghong
[J]. 2019 IEEE INTL CONF ON PARALLEL & DISTRIBUTED PROCESSING WITH APPLICATIONS, BIG DATA & CLOUD COMPUTING, SUSTAINABLE COMPUTING & COMMUNICATIONS, SOCIAL COMPUTING & NETWORKING (ISPA/BDCLOUD/SOCIALCOM/SUSTAINCOM 2019), 2019, : 486 - 492
[3] A NEW MODEL FOR PROBABILISTIC MULTI-PERIOD MULTI-OBJECTIVE PROJECT SELECTION PROBLEM
Khalili-Damghani, K.
Poortarigh, M.
Pakgohar, A.
[J]. 24TH INTERNATIONAL CONFERENCE ON PRODUCTION RESEARCH (ICPR), 2017, : 598 - 603
[4] An integrated multi-objective framework for solving multi-period project selection problems
Khalili-Damghani, Kaveh
Tavana, Madjid
Sadi-Nezhad, Soheil
[J]. APPLIED MATHEMATICS AND COMPUTATION, 2012, 219 (06) : 3122 - 3138
[5] DISTRIBUTIONALLY ROBUST MULTI-PERIOD PORTFOLIO SELECTION SUBJECT TO BANKRUPTCY CONSTRAINTS
Jiang, Lin
Wu, Changzhi
Wang, Song
[J]. JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION, 2023, 19 (02) : 1044 - 1057
[6] Robust goal programming for multi-objective portfolio selection problem
Ghahtarani, Alireza
Najafi, Amir Abbas
[J]. ECONOMIC MODELLING, 2013, 33 : 588 - 592
[7] Multi-period portfolio selection with drawdown control
Nystrup, Peter
Boyd, Stephen
Lindstrom, Erik
Madsen, Henrik
[J]. ANNALS OF OPERATIONS RESEARCH, 2019, 282 (1-2) : 245 - 271
[8] Multi-Period Portfolio Selection with Transaction Costs
Yi, Lan
[J]. 2010 2ND IEEE INTERNATIONAL CONFERENCE ON INFORMATION AND FINANCIAL ENGINEERING (ICIFE), 2010, : 98 - 103
[9] Multi-period portfolio selection with drawdown control
Peter Nystrup
Stephen Boyd
Erik Lindström
Henrik Madsen
[J]. Annals of Operations Research, 2019, 282 : 245 - 271
[10] A decision support system for fuzzy multi-objective multi-period sustainable project selection
Khalili-Damghani, Kaveh
Sadi-Nezhad, Soheil
[J]. COMPUTERS & INDUSTRIAL ENGINEERING, 2013, 64 (04) : 1045 - 1060

← 1 2 3 4 5 →