A Multiple Objective Stochastic Portfolio Selection Program with Partial Information on Probability Distribution

In this paper, we propose a multi objective stochastic model with linear partial information on probability distribution (MSPLI) for portfolio selection problem. We apply an extended chance constrained compromise programming approach to obtain the deterministic equivalent of the MSPLImodel.

[1]  Jan Muntermann,et al.  Towards ubiquitous information supply for individual investors: A decision support system design , 2009, Decis. Support Syst..

[2]  Amelia Bilbao-Terol,et al.  Fuzzy compromise programming for portfolio selection , 2006, Appl. Math. Comput..

[3]  Fouad Ben Abdelaziz,et al.  Multistage stochastic programming with fuzzy probability distribution , 2009, Fuzzy Sets Syst..

[4]  John Krainer,et al.  Stock market volatility , 2002 .

[5]  Constantin Zopounidis,et al.  Profilio Selection Using the Adelais Multiobjective Linear Programming System , 1998 .

[6]  Fouad Ben Abdelaziz,et al.  Stochastic programming with fuzzy linear partial information on probability distribution , 2005, Eur. J. Oper. Res..

[7]  Fouad Ben Abdelaziz,et al.  A compromise solution for the multiobjective stochastic linear programming under partial uncertainty , 2010, Eur. J. Oper. Res..

[8]  Milan Zelany,et al.  A concept of compromise solutions and the method of the displaced ideal , 1974, Comput. Oper. Res..

[9]  Edward Kofler.  Linear partial information with applications , 2001, Fuzzy Sets Syst..

[10]  Peter Abel.  Stochastic Linear Programming with Recourse under Partial Information , 1987 .

[11]  A. Prékopa,et al.  Programming Under Probabilistic Constraint with Discrete Random Variable , 1998 .

[12]  Arthur P. Dempster,et al.  Upper and Lower Probabilities Induced by a Multivalued Mapping , 1967, Classic Works of the Dempster-Shafer Theory of Belief Functions.