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How to cite this paper
APA: Hassanlou, K. (2017). A multi period portfolio selection using chance constrained programming. Decision Science Letters, 6(3), 221-232.
Chicago/Turabian: Hassanlou, K. 2017. "A multi period portfolio selection using chance constrained programming." Decision Science Letters 6, no. 3 (2017): 221-232.
AMA: Hassanlou, K. A multi period portfolio selection using chance constrained programming. Decision Science Letters. 2017;6(3):221-232.
References
Abdelaziz, F. B., Aouni, B., & El Fayedh, R. (2007). Multi-objective stochastic programming for portfolio selection. European Journal of Operational Research, 177(3), 1811-1823.
Ammar, E., & Khalifa, H. A. (2003). Fuzzy portfolio optimization a quadratic programming approach. Chaos, Solitons & Fractals, 18(5), 1045-1054.
Aouni, B., Abdelaziz, F. B., & El-Fayedh, R. (2000). Chance constrained compromise programming for portfolio selection. Laboratoire LARODEC, Institut Superieur de Gestion, La Bardo.
Asanga, S., Asimit, A., Badescu, A., & Haberman, S. (2014). Portfolio optimization under solvency constraints: a dynamical approach. North American Actuarial Journal, 18(3), 394-416.
Bertsimas, D., & Pachamanova, D. (2008). Robust multiperiod portfolio management in the presence of transaction costs. Computers & Operations Research, 35(1), 3-17.
Best, M. J., & Hlouskova, J. (2000). The efficient frontier for bounded assets. Mathematical Methods of Operations Rresearch, 52(2), 195-212.
Brockett, P. L., Charnes, A., Cooper, W. W., Kwon, K. H., & Ruefli, T. W. (1992). Chance constrained programming approach to empirical analyses of mutual fund investment strategies. Decision Sciences, 23(2), 385-408.
Charnes, A., & Cooper, W. W. (1959). Chance-constrained programming. Management Science, 6(1), 73-79.
Charnes, A., Cooper, W.W., Kwon, K.H., & Ruefli, T.W. (1993). Chance constrained programming and other approaches to risk in strategic management. In: L. Gould, P. Halpern (Eds.).Proceedings of a Conference in Honor of M.J. Gordon, Social Science Research Council of Canada, Ottawa.
Chen, L. H., & Huang, L. (2009). Portfolio optimization of equity mutual funds with fuzzy return rates and risks. Expert Systems with Applications, 36(2), 3720-3727.
Gupta, P., Inuiguchi, M., Mehlawat, M. K., & Mittal, G. (2013). Multiobjective credibilistic portfolio selection model with fuzzy chance-constraints. Information Sciences, 229, 1-17.
Harlow, W. V., & Rao, R. K. (1989). Asset pricing in a generalized mean-lower partial moment framework: Theory and evidence. Journal of Financial and Quantitative Analysis, 24(03), 285-311.
Holland, J. H.(1975). Adaptation in natural and artificial systems: An introductory analysis with applications to biology, control and artificial intelligence.University of Michigan Press.
Huang, X. (2006). Fuzzy chance-constrained portfolio selection. Applied Mathematics and Computation, 177(2), 500-507.
Huang, X. (2008). Mean-semivariance models for fuzzy portfolio selection. Journal of Computational and Applied Mathematics, 217(1), 1-8.
Li, S. X. (1995). An insurance and investment portfolio model using chance constrained programming. Omega, 23(5), 577-585.
Liu, B.(2009).Theory and Practice of Uncertain Programming. 3rd ed. UTLAB.
Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91.
Markowitz, H. (1956). The optimization of a quadratic function subject to linear constraints. Naval Research Logistics Quarterly, 3(1‐2), 111-133.
Markowitz, H.(1959).Portfolio selection: Efficient diversification of investments. New York: Wiley.
Parra, M. A., Terol, A. B., & Urıa, M. R. (2001). A fuzzy goal programming approach to portfolio selection. European Journal of Operational Research, 133(2), 287-297.
Qin, Z., Wang, D. Z., & Li, X. (2013). Mean-semivariance models for portfolio optimization problem with mixed uncertainty of fuzziness and randomness. International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems, 21(supp01), 127-139.
Qin, Z. (2015). Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns. European Journal of Operational Research, 245(2), 480-488.
Sadjadi, S. J., Seyedhosseini, S. M., & Hassanlou, K. (2011). Fuzzy multi period portfolio selection with different rates for borrowing and lending. Applied Soft Computing, 11(4), 3821-3826.
Simaan, Y. (1997). Estimation risk in portfolio selection: the mean variance model versus the mean absolute deviation model. Management Science, 43(10), 1437-1446.
Sun, Y., Aw, G., Loxton, R., & Teo, K. L. (2017). Chance-constrained optimization for pension fund portfolios in the presence of default risk. European Journal of Operational Research, 256(1), 205-214.
Tiryaki, F., & Ahlatcioglu, B. (2009). Fuzzy portfolio selection using fuzzy analytic hierarchy process. Information Sciences, 179(1), 53-69.
Williams, J. O. (1997). Maximizing the probability of achieving investment goals. The Journal of Portfolio Management, 24(1), 77-81.
Yan, L. (2009). Chance-constrained portfolio selection with birandom returns. Modern Applied Science, 3(4), 161.
Yoshimoto, A. (1996). The mean-variance approach to portfolio optimization subject to transaction costs. Journal of the Operations Research Society of Japan, 39(1), 99-117.
Zhang, W. G., & Nie, Z. K. (2004). On admissible efficient portfolio selection problem. Applied Mathematics and Computation, 159(2), 357-371.
Ammar, E., & Khalifa, H. A. (2003). Fuzzy portfolio optimization a quadratic programming approach. Chaos, Solitons & Fractals, 18(5), 1045-1054.
Aouni, B., Abdelaziz, F. B., & El-Fayedh, R. (2000). Chance constrained compromise programming for portfolio selection. Laboratoire LARODEC, Institut Superieur de Gestion, La Bardo.
Asanga, S., Asimit, A., Badescu, A., & Haberman, S. (2014). Portfolio optimization under solvency constraints: a dynamical approach. North American Actuarial Journal, 18(3), 394-416.
Bertsimas, D., & Pachamanova, D. (2008). Robust multiperiod portfolio management in the presence of transaction costs. Computers & Operations Research, 35(1), 3-17.
Best, M. J., & Hlouskova, J. (2000). The efficient frontier for bounded assets. Mathematical Methods of Operations Rresearch, 52(2), 195-212.
Brockett, P. L., Charnes, A., Cooper, W. W., Kwon, K. H., & Ruefli, T. W. (1992). Chance constrained programming approach to empirical analyses of mutual fund investment strategies. Decision Sciences, 23(2), 385-408.
Charnes, A., & Cooper, W. W. (1959). Chance-constrained programming. Management Science, 6(1), 73-79.
Charnes, A., Cooper, W.W., Kwon, K.H., & Ruefli, T.W. (1993). Chance constrained programming and other approaches to risk in strategic management. In: L. Gould, P. Halpern (Eds.).Proceedings of a Conference in Honor of M.J. Gordon, Social Science Research Council of Canada, Ottawa.
Chen, L. H., & Huang, L. (2009). Portfolio optimization of equity mutual funds with fuzzy return rates and risks. Expert Systems with Applications, 36(2), 3720-3727.
Gupta, P., Inuiguchi, M., Mehlawat, M. K., & Mittal, G. (2013). Multiobjective credibilistic portfolio selection model with fuzzy chance-constraints. Information Sciences, 229, 1-17.
Harlow, W. V., & Rao, R. K. (1989). Asset pricing in a generalized mean-lower partial moment framework: Theory and evidence. Journal of Financial and Quantitative Analysis, 24(03), 285-311.
Holland, J. H.(1975). Adaptation in natural and artificial systems: An introductory analysis with applications to biology, control and artificial intelligence.University of Michigan Press.
Huang, X. (2006). Fuzzy chance-constrained portfolio selection. Applied Mathematics and Computation, 177(2), 500-507.
Huang, X. (2008). Mean-semivariance models for fuzzy portfolio selection. Journal of Computational and Applied Mathematics, 217(1), 1-8.
Li, S. X. (1995). An insurance and investment portfolio model using chance constrained programming. Omega, 23(5), 577-585.
Liu, B.(2009).Theory and Practice of Uncertain Programming. 3rd ed. UTLAB.
Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91.
Markowitz, H. (1956). The optimization of a quadratic function subject to linear constraints. Naval Research Logistics Quarterly, 3(1‐2), 111-133.
Markowitz, H.(1959).Portfolio selection: Efficient diversification of investments. New York: Wiley.
Parra, M. A., Terol, A. B., & Urıa, M. R. (2001). A fuzzy goal programming approach to portfolio selection. European Journal of Operational Research, 133(2), 287-297.
Qin, Z., Wang, D. Z., & Li, X. (2013). Mean-semivariance models for portfolio optimization problem with mixed uncertainty of fuzziness and randomness. International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems, 21(supp01), 127-139.
Qin, Z. (2015). Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns. European Journal of Operational Research, 245(2), 480-488.
Sadjadi, S. J., Seyedhosseini, S. M., & Hassanlou, K. (2011). Fuzzy multi period portfolio selection with different rates for borrowing and lending. Applied Soft Computing, 11(4), 3821-3826.
Simaan, Y. (1997). Estimation risk in portfolio selection: the mean variance model versus the mean absolute deviation model. Management Science, 43(10), 1437-1446.
Sun, Y., Aw, G., Loxton, R., & Teo, K. L. (2017). Chance-constrained optimization for pension fund portfolios in the presence of default risk. European Journal of Operational Research, 256(1), 205-214.
Tiryaki, F., & Ahlatcioglu, B. (2009). Fuzzy portfolio selection using fuzzy analytic hierarchy process. Information Sciences, 179(1), 53-69.
Williams, J. O. (1997). Maximizing the probability of achieving investment goals. The Journal of Portfolio Management, 24(1), 77-81.
Yan, L. (2009). Chance-constrained portfolio selection with birandom returns. Modern Applied Science, 3(4), 161.
Yoshimoto, A. (1996). The mean-variance approach to portfolio optimization subject to transaction costs. Journal of the Operations Research Society of Japan, 39(1), 99-117.
Zhang, W. G., & Nie, Z. K. (2004). On admissible efficient portfolio selection problem. Applied Mathematics and Computation, 159(2), 357-371.