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Encompassing statistically unquantifiable randomness in goal programming: an application to portfolio selection

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Encompassing statistically unquantifiable randomness in goal programming: an application to portfolio selection

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Bravo Selles, M.; Jones, D.; Pla Santamaría, D.; Salas-Molina, F. (2022). Encompassing statistically unquantifiable randomness in goal programming: an application to portfolio selection. Operational Research (Online). 22(5):5685-5706. https://doi.org/10.1007/s12351-022-00713-1

Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/197763

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Title: Encompassing statistically unquantifiable randomness in goal programming: an application to portfolio selection
Author: BRAVO SELLES, MILAGROS Jones, Dylan Pla Santamaría, David Salas-Molina, Francisco
UPV Unit: Universitat Politècnica de València. Escuela Politécnica Superior de Alcoy - Escola Politècnica Superior d'Alcoi
Issued date:
Abstract:
[EN] Random events make multiobjective programming solutions vulnerable to changes in input data. In many cases statistically quantifiable information on variability of relevant parameters may not be available for decision ...[+]
Subjects: Goal programming , Uncertainty , Beliefs , Risk aversion , Power utility , Portfolio selection
Copyrigths: Reconocimiento (by)
Source:
Operational Research (Online). (eissn: 1866-1505 )
DOI: 10.1007/s12351-022-00713-1
Publisher:
Springer-Verlag
Publisher version: https://doi.org/10.1007/s12351-022-00713-1
Thanks:
Open Access funding provided thanks to the CRUE-CSIC agreement with Springer Nature. s This work is devoted to the memory of Professor Enrique Ballestero for his selfess dedication to it.
Type: Artículo

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