436
Views
43
CrossRef citations to date
0
Altmetric
Theoretical Paper

Optimal portfolios using linear programming models

&
Pages 1169-1177 | Received 01 Mar 2002, Accepted 01 Feb 2004, Published online: 21 Dec 2017

Keep up to date with the latest research on this topic with citation updates for this article.

Read on this site (1)

Carla Oliveira Henriques & Maria Elisabete Duarte Neves. (2019) A multiobjective interval portfolio framework for supporting investor’s preferences under different risk assumptions. Journal of the Operational Research Society 70:10, pages 1639-1661.
Read now

Articles from other publishers (42)

Pawan Kumar Mandal & Manoj Thakur. (2024) Higher-order moments in portfolio selection problems: A comprehensive literature review. Expert Systems with Applications 238, pages 121625.
Crossref
AmirMohammad Larni-Fooeik, Hossein Ghanbari, Mostafa Shabani & Emran Mohammadi. 2024. Progressive Decision-Making Tools and Applications in Project and Operation Management. Progressive Decision-Making Tools and Applications in Project and Operation Management 69 79 .
Luca Di Persio & Nicola Fraccarolo. (2023) Investment and Bidding Strategies for Optimal Transmission Management Dynamics: The Italian Case. Energies 16:16, pages 5950.
Crossref
Carla Oliveira Henriques, Maria Elisabete Neves, Licínio Castelão & Duc Khuong Nguyen. (2022) Assessing the performance of exchange traded funds in the energy sector: a hybrid DEA multiobjective linear programming approach. Annals of Operations Research 313:1, pages 341-366.
Crossref
Amir Yousefli, Majeed Heydari & Reza Norouzi. (2022) A data-driven stochastic decision support system to investment portfolio problem under uncertainty. Soft Computing 26:11, pages 5283-5296.
Crossref
Mohd Azdi Maasar, Diana Roman & Paresh Date. (2020) Risk minimisation using options and risky assets. Operational Research 22:1, pages 485-506.
Crossref
N. K. Oladejo, A. Abolarinwa & S. O. Salawu. (2020) Linear Programming and Its Application Techniques in Optimizing Portfolio Selection of a Firm. Journal of Applied Mathematics 2020, pages 1-7.
Crossref
Filippo ReginaMauro Gianfranco Bisceglia. (2020) A-KA Model: an Optimization of the Stock’s Portofolio. Zagreb International Review of Economics and Business 23:2, pages 21-40.
Crossref
Alireza Nazemi & Marziyeh Mortezaee. (2019) A Novel Collaborate Neural Dynamic System Model for Solving a Class of Min–Max Optimization Problems with an Application in Portfolio Management. The Computer Journal 62:7, pages 1061-1085.
Crossref
Jianjian Wang, Feng He & Xin Shi. (2019) Numerical solution of a general interval quadratic programming model for portfolio selection. PLOS ONE 14:3, pages e0212913.
Crossref
Alireza Nazemi & Marziyeh Mortezaee. (2018) A new gradient-based neural dynamic framework for solving constrained min-max optimization problems with an application in portfolio selection models. Applied Intelligence 49:2, pages 396-419.
Crossref
Mahuya De, B.K. Mangaraj & K.B. Das. (2018) A fuzzy goal programming model in portfolio selection under competitive-cum-compensatory decision strategies. Applied Soft Computing 73, pages 635-646.
Crossref
Saurabh AgarwalSaurabh Agarwal. 2017. Portfolio Selection Using Multi-Objective Optimisation. Portfolio Selection Using Multi-Objective Optimisation 19 49 .
Sini Guo, Lean Yu, Xiang Li & Samarjit Kar. (2016) Fuzzy multi-period portfolio selection with different investment horizons. European Journal of Operational Research 254:3, pages 1026-1035.
Crossref
Shigeru Imai, Stacy Patterson & Carlos A. Varela. (2016) Elastic Virtual Machine Scheduling for Continuous Air Traffic Optimization. Elastic Virtual Machine Scheduling for Continuous Air Traffic Optimization.
Zhongfeng QinZhongfeng Qin. 2016. Uncertain Portfolio Optimization. Uncertain Portfolio Optimization 151 165 .
Zhongfeng QinZhongfeng Qin. 2016. Uncertain Portfolio Optimization. Uncertain Portfolio Optimization 131 149 .
Zhongfeng QinZhongfeng Qin. 2016. Uncertain Portfolio Optimization. Uncertain Portfolio Optimization 115 129 .
Zhongfeng QinZhongfeng Qin. 2016. Uncertain Portfolio Optimization. Uncertain Portfolio Optimization 103 114 .
Zhongfeng QinZhongfeng Qin. 2016. Uncertain Portfolio Optimization. Uncertain Portfolio Optimization 83 101 .
Zhongfeng QinZhongfeng Qin. 2016. Uncertain Portfolio Optimization. Uncertain Portfolio Optimization 71 82 .
Zhongfeng QinZhongfeng Qin. 2016. Uncertain Portfolio Optimization. Uncertain Portfolio Optimization 53 69 .
Zhongfeng QinZhongfeng Qin. 2016. Uncertain Portfolio Optimization. Uncertain Portfolio Optimization 29 52 .
Zhongfeng QinZhongfeng Qin. 2016. Uncertain Portfolio Optimization. Uncertain Portfolio Optimization 167 184 .
Zhongfeng QinZhongfeng Qin. 2016. Uncertain Portfolio Optimization. Uncertain Portfolio Optimization 1 28 .
Xiang Li, Sini Guo & Lean Yu. (2015) Skewness of Fuzzy Numbers and Its Applications in Portfolio Selection. IEEE Transactions on Fuzzy Systems 23:6, pages 2135-2143.
Crossref
Jing Rung Yu, Yu Chuan Hsu & Si Rou Lim. 2015. Handbook of Financial Econometrics and Statistics. Handbook of Financial Econometrics and Statistics 707 728 .
Alireza Nazemi & Narges Tahmasbi. (2013) A computational intelligence method for solving a class of portfolio optimization problems. Soft Computing 18:11, pages 2101-2117.
Crossref
Xiang Li & Zhongfeng Qin. (2014) Interval portfolio selection models within the framework of uncertainty theory. Economic Modelling 41, pages 338-344.
Crossref
Wan Chau Li, Yue Wu & Udechukwu Ojiako. (2014) Using portfolio optimisation models to enhance decision making and prediction. Journal of Modelling in Management 9:1, pages 36-57.
Crossref
Alireza Ghahtarani & Amir Abbas Najafi. (2013) Robust goal programming for multi-objective portfolio selection problem. Economic Modelling 33, pages 588-592.
Crossref
Enriqueta Vercher & Jose D. Bermudez. (2013) A Possibilistic Mean-Downside Risk-Skewness Model for Efficient Portfolio Selection. IEEE Transactions on Fuzzy Systems 21:3, pages 585-595.
Crossref
Enriqueta Vercher & José D. Bermúdez. 2012. Financial Decision Making Using Computational Intelligence. Financial Decision Making Using Computational Intelligence 253 280 .
Yongma Moon & Tao Yao. (2011) A robust mean absolute deviation model for portfolio optimization. Computers & Operations Research 38:9, pages 1251-1258.
Crossref
Li-Ching Ma. (2011) Visualizing Investment Decision on Decision Balls. American Journal of Operations Research 01:02, pages 57-64.
Crossref
Ying-yu He. (2010) The Comparison of the Optimal Portfolio Corresponding to Different Weight Functions. The Comparison of the Optimal Portfolio Corresponding to Different Weight Functions.
Khalid Y. Al‐Qahtani & Ali Elkamel. 2010. Planning and Integration of Refinery and Petrochemical Operations. Planning and Integration of Refinery and Petrochemical Operations 109 138 .
Cheng Seong Khor, Ali Elkamel, Kumaraswamy Ponnambalam & Peter L. Douglas. (2008) Two-stage stochastic programming with fixed recourse via scenario planning with economic and operational risk management for petroleum refinery planning under uncertainty. Chemical Engineering and Processing: Process Intensification 47:9-10, pages 1744-1764.
Crossref
Jose D. Bermudez, Jose V. Segura & Enriqueta Vercher. (2007) A fuzzy ranking strategy for portfolio selection applied to the Spanish stock market. A fuzzy ranking strategy for portfolio selection applied to the Spanish stock market.
Enriqueta Vercher, José D. Bermúdez & José Vicente Segura. (2007) Fuzzy portfolio optimization under downside risk measures. Fuzzy Sets and Systems 158:7, pages 769-782.
Crossref
Bartosz Kaszuba. (2011) Applications of Robust Statistics in Portfolio Theory. SSRN Electronic Journal.
Crossref
Bartosz Kaszuba. (2012) Empirical Comparison of Robust Portfolios' Investment Effects. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.