Multi-objective probabilistically constrained programs with variable risk: Models for multi-portfolio financial optimization

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Miguel A. Lejeune, Siqian Shen

Published: 2016, Last Modified: 28 Sept 2024Eur. J. Oper. Res. 2016EveryoneRevisionsBibTeXCC BY-SA 4.0
Abstract: Highlights•Boolean reformulation method for multi-objective joint chance-constrained problems (MOPCP).•Multi-portfolio optimization models with centralized and decentralized approach.•Computationally efficient MILP inner approximations or equivalent reformulations.•Insights about reformulations, risk-revenue tradeoffs, and goal weighing.