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Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models
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Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models
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Journal Article
Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models
2018
Overview
The literature on portfolio selection mostly concentrates on computational analysis rather than on modelling efforts. In response, this paper provides a comprehensive literature review of multiple objective deterministic and stochastic programming models for the portfolio selection problem. First, we summarize different concepts related to portfolio selection theory, including pricing models and portfolio risk measures. Second, we report the mathematical models that are generally used to solve deterministic and stochastic multiple objective programming problems. Finally, we present how these models can be used to solve the portfolio selection problem.
Publisher
Springer Nature B.V
