Paper Info
Title
Multi-objective probabilistically constrained programs with variable risk: Models for multi-portfolio financial optimization.
Abstract
•Boolean reformulation method for multi-objective joint chance-constrained problems (MOPCP).•Multi-portfolio optimization models with centralized and decentralized approach.•Computationally efficient MILP inner approximations or equivalent reformulations.•Insights about reformulations, risk-revenue tradeoffs, and goal weighing.
Year
DOI
Venue
2016
10.1016/j.ejor.2016.01.039
European Journal of Operational Research
Keywords
Field
DocType
Multi-portfolio optimization,Probabilistic constraint,Variable reliability,Multi-objective programming,Boolean programming
Revenue,Mathematical optimization,Downside risk,Matrix (mathematics),Robustness (computer science),Portfolio,Probabilistic logic,Finance,Investment decisions,Optimization problem,Mathematics,Operations management
Journal
Volume
Issue
ISSN
252
2
0377-2217
Citations 
PageRank 
References 
7
0.47
10
Authors
2
Name
Order
Citations
PageRank
Miguel A. Lejeune125321.95
Siqian Shen212312.61