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Publication Details
AFRICAN RESEARCH NEXUS
SHINING A SPOTLIGHT ON AFRICAN RESEARCH
computer science
Multi-objective stochastic programming for portfolio selection
European Journal of Operational Research, Volume 177, No. 3, Year 2007
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Description
Generally, in the portfolio selection problem the Decision Maker (DM) considers simultaneously conflicting objectives such as rate of return, liquidity and risk. Multi-objective programming techniques such as goal programming (GP) and compromise programming (CP) are used to choose the portfolio best satisfying the DM's aspirations and preferences. In this article, we assume that the parameters associated with the objectives are random and normally distributed. We propose a chance constrained compromise programming model (CCCP) as a deterministic transformation to multi-objective stochastic programming portfolio model. CCCP is based on CP and chance constrained programming (CCP) models. The proposed program is illustrated by means of a portfolio selection problem from the Tunisian stock exchange market. © 2005 Elsevier B.V. All rights reserved.
Authors & Co-Authors
Ben Abdelaziz, Fouad
Tunisia, Le Bardo
Institut Supérieur de Gestion de Tunis
Aouni, Belaïd
Canada, Sudbury
Université Laurentienne
El Fayedh, R.
Tunisia, Le Bardo
Institut Supérieur de Gestion de Tunis
Statistics
Citations: 295
Authors: 3
Affiliations: 2
Identifiers
Doi:
10.1016/j.ejor.2005.10.021
ISSN:
03772217