Sample Average Approximation Method for Chance Constrained Programming: Theory and Applications

JOURNAL ARTICLE published August 2009 in Journal of Optimization Theory and Applications

Authors: B. K. Pagnoncelli | S. Ahmed | A. Shapiro

An Improved Particle Swarm Optimization for the Constrained Portfolio Selection Problem

PROCEEDINGS ARTICLE published June 2009 in 2009 International Conference on Computational Intelligence and Natural Computing

Authors: Jianwei Gao | Zhonghua Chu

SAMPLE AVERAGE APPROXIMATION FOR CHANCE CONSTRAINED PROGRAMMING

DISSERTATION published

Authors: BERNARDO KULNIG PAGNONCELLI

Bifuzzy Chance-constrained Portfolio Selection

PROCEEDINGS ARTICLE published April 2009 in 2009 International Joint Conference on Artificial Intelligence

Authors: Li-mei Yan

An algorithm for binary linear chance-constrained problems using IIS

JOURNAL ARTICLE published April 2019 in Computational Optimization and Applications

Authors: Gianpiero Canessa | Julian A. Gallego | Lewis Ntaimo | Bernardo K. Pagnoncelli

RETRACTION: Peng Zhang, Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection

JOURNAL ARTICLE published 2019 in Journal of Industrial & Management Optimization

Solving Chance-Constrained Stochastic Programs via Sampling and Integer Programming

BOOK CHAPTER published September 2008 in State-of-the-Art Decision-Making Tools in the Information-Intensive Age

Authors: Shabbir Ahmed | Alexander Shapiro

An empirical study of chance-constrained portfolio selection model

JOURNAL ARTICLE published 2017 in Procedia Computer Science

Authors: Yingwei Han | Ping Li

Robust and Reliable Portfolio Optimization Formulation of a Chance Constrained Problem

JOURNAL ARTICLE published 1 February 2017 in Foundations of Computing and Decision Sciences

Authors: Raghu Nandan Sengupta | Rakesh Kumar

Data-Driven Approximation of Contextual Chance-Constrained Stochastic Programs

JOURNAL ARTICLE published 30 September 2023 in SIAM Journal on Optimization

Authors: Hamed Rahimian | Bernardo Pagnoncelli

Chance-constrained Portfolio Selection with Birandom Returns

JOURNAL ARTICLE published 18 March 2009 in Modern Applied Science

Authors: Limei Yan

A chance constrained recourse approach for the portfolio selection problem

JOURNAL ARTICLE published April 2017 in Annals of Operations Research

Authors: Meryem Masmoudi | Fouad Ben Abdelaziz

A sparse chance constrained portfolio selection model with multiple constraints

JOURNAL ARTICLE published August 2020 in Journal of Global Optimization

Research funded by National Natural Science Foundation of China (11571270,71371152)

Authors: Zhiping Chen | Shen Peng | Abdel Lisser

Portfolio Selection Problems

BOOK CHAPTER published 2016 in Online Algorithms for the Portfolio Selection Problem

Authors: Robert Dochow

DATA-DRIVEN JOINT CHANCE-CONSTRAINED OPTIMIZATION FOR THE WORKOVER RIG SCHEDULING PROBLEM

DISSERTATION published

Authors: IURI MARTINS SANTOS

A CHANCE-CONSTRAINED PORTFOLIO SELECTION PROBLEM UNDER t-DISTRIBUTION

JOURNAL ARTICLE published August 2007 in Asia-Pacific Journal of Operational Research

Authors: YI WANG | ZHIPING CHEN | KECUN ZHANG

A local relaxation method for the cardinality constrained portfolio optimization problem

JOURNAL ARTICLE published December 2012 in Computational Optimization and Applications

Authors: Walter Murray | Howard Shek

Chance-constrained Programming Model for Portfolio Selection in Uncertain Environment

JOURNAL ARTICLE published 18 September 2009 in Modern Applied Science

Authors: Limei Yan

Fuzzy chance-constrained portfolio selection

JOURNAL ARTICLE published June 2006 in Applied Mathematics and Computation

Authors: Xiaoxia Huang

Analytical Reduction Method for New Type-2 Fuzzy Chance-Constrained Portfolio Selection Model

JOURNAL ARTICLE published 2021 in International Journal of Computational Intelligence Systems

Authors: Guang Yang | Mei Cai | Jindong Qin | Xinwang Liu | Xu Zhang