Concepedia

Chance-constrained Portfolio Optimization

Chance-Constrained Portfolio Optimization is a stochastic optimization framework that belongs to the class of portfolio selection models, distinguished by its incorporation of probabilistic constraints to ensure that the probability of portfolio loss exceeding a prescribed threshold remains below a specified level.

77

Publications

3.9K

Citations

156

Authors

116

Institutions

Publications per year

2017–2026

13

Parents

Publications

77

60 Years of portfolio optimization: Practical challenges and current trends

Petter N. Kolm, Reha Tütüncü, Frank J. Fabozzi · European Journal of Operational Research · 2013 · 633 citations

, , +15

Portfolio selection based on fuzzy probabilities and possibility distributions

Hideo Tanaka, Peijun Guo, İ.B. Türkşen · Fuzzy Sets and Systems · 2000 · 312 citations

, , +16

Capital Growth and the Mean-Variance Approach to Portfolio Selection

Nils H. Hakansson · Journal of Financial and Quantitative Analysis · 1971 · 201 citations

, , +17

Possibilistic mean–variance models and efficient frontiers for portfolio selection problem

Weiguo Zhang, Wang Ying-luo, Zhiping Chen et al. · Information Sciences · 2007 · 140 citations

, , +16

Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns

Zhongfeng Qin · European Journal of Operational Research · 2015 · 127 citations

, , +17

1–5 of 77

Authors

156

  1. KL
    Kok Lay Teo

    Curtin University, Australia

    5 publications · 175 citations

    5

    h-index

  2. MK
    Mukesh Kumar Mehlawat

    University of Delhi, India

    4 publications · 192 citations

    4

    h-index

  3. YS
    Yufei Sun

    Curtin University, Australia

    4 publications · 151 citations

    4

    h-index

  4. PG
    Pankaj Gupta

    University of Delhi, India

    4 publications · 192 citations

    4

    h-index

  5. BL
    Bo Li

    Nanjing University of Finance and Economics, China

    3 publications · 123 citations

    3

    h-index

1–5 of 156

Institutions

116

  1. University of Delhi

    New Delhi, India

    4 h-index

    9 publications

    435 citations

  2. University of Toronto

    Toronto, Canada

    3 h-index

    4 publications

    369 citations

  3. Beihang University

    Beijing, China

    3 h-index

    4 publications

    228 citations

  4. Curtin University

    Perth, Australia

    3 h-index

    11 publications

    454 citations

  5. Nanjing University of Finance and Economics

    Nanjing, China

    3 h-index

    3 publications

    123 citations

  6. Hebei University

    Baoding, China

    2 h-index

    6 publications

    162 citations

  7. Stanford University

    Stanford, United States

    2 h-index

    2 publications

    60 citations

  8. Sunway University

    Petaling Jaya, Malaysia

    2 h-index

    2 publications

    41 citations

1–8 of 116

Venues

  1. European Journal of Operational Research

    8 publications · 1.1K citations

    8

    h-index

  2. Annals of Operations Research

    7 publications · 166 citations

    7

    h-index

  3. 3

    h-index

  4. Applied Mathematics & Optimization

    3 publications · 148 citations

    3

    h-index

  5. Information Sciences

    3 publications · 263 citations

    3

    h-index

1–5