mostafa abdollahi moghadam
Department of Industrial Engineering, K.N. Toosi University of Technology, Tehran, Iran
[ 1 ] - A two-stage robust model for portfolio selection by using goal programming
In portfolio selection models, uncertainty plays an important role. The parameter’s uncertainty leads to getting away from optimal solution so it is needed to consider that in models. In this paper we presented a two-stage robust model that in first stage determines the desired percentage of investment in each industrial group by using return and risk measures from different industries. One rea...
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