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Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models

  • Multiple Objective Optimization
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Abstract

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.

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Authors and Affiliations

  1. College of Business Administration, University of Bahrain, P.O. Box 32038, Sakhir, Kingdom of Bahrain

    Meryem Masmoudi

  2. NEOMA Business School, Rouen Campus, Boulevard André Siegfried, 76130, Mont-Saint-Aignan, France

    Fouad Ben Abdelaziz

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  1. Meryem Masmoudi
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  2. Fouad Ben Abdelaziz
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Correspondence to Meryem Masmoudi.

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Masmoudi, M., Abdelaziz, F.B. Portfolio selection problem: a review of deterministic and stochastic multiple objective programming models. Ann Oper Res 267, 335–352 (2018). https://doi.org/10.1007/s10479-017-2466-7

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  • DOI: https://doi.org/10.1007/s10479-017-2466-7

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