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Chance-constrained portfolio selection
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<h2 id="see-also">See also</h2> <ul><li><a href="/facts/Capital_asset_pricing_model/jqUMvmlL">Capital asset pricing model</a></li> <li><a href="/facts/Expected_utility_theory/EboBlw1D">Expected utility theory</a></li> <li><a href="/facts/Kelly_criterion/6nWeqeP3">Kelly criterion</a></li> <li><a href="/facts/Lexicographic_preferences/wpy4FCh7">Lexicographic preferences</a></li> <li><a href="/facts/Loss_aversion/R2G7bhBx">Loss aversion</a></li> <li><a href="/facts/Portfolio_optimization/H1rvkwzX">Portfolio optimization</a></li> <li><a href="/facts/Post_modern_portfolio_theory/WUzkNkp8">Post modern portfolio theory</a></li> <li><a href="/facts/Roy%27s_safety-first_criterion/Jc2Lm997">Roy's safety-first criterion</a></li> <li><a href="/facts/Stochastic_programming/Nr1S4vA4">Stochastic programming</a></li></ul> <h2 id="references">References</h2> <ol> <li id="fn:1"><p>A. Chance and W. W. Cooper (1959), "Chance-Constrained Programming," Management Science, 6, No. 1, 73-79. [1]. Retrieved September 24, 2020 <a href="https://www.jstor.org/stable/2627476?Search=yes&resultItemClick=true&searchText=((Management%20Science)%20AND%20(Charnes%20and%20cooper))%20AND%20(Chance%20Constrained%20programming)&searchUri=%2Faction%2FdoBasicSearch%3FQuery%3DChance%2BConstrained%2Bprogramming%26cty_journal_facet%3Dam91cm5hbA%253D%253D%26prq%3D(Management%2BScience)%2BAND%2B(Charnes%2Band%2Bcooper)%26swp%3Don&ab_segments=0%2Fbasic_search_SYC-5455%2Fcontrol&refreqid=fastly-default%3A78e869b443ea6c0e104737db22b5a854" target="_blank">https://www.jstor.org/stable/2627476?Search=yes&resultItemClick=true&searchText=((Management%20Science)%20AND%20(Charnes%20and%20cooper))%20AND%20(Chance%20Constrained%20programming)&searchUri=%2Faction%2FdoBasicSearch%3FQuery%3DChance%2BConstrained%2Bprogramming%26cty_journal_facet%3Dam91cm5hbA%253D%253D%26prq%3D(Management%2BScience)%2BAND%2B(Charnes%2Band%2Bcooper)%26swp%3Don&ab_segments=0%2Fbasic_search_SYC-5455%2Fcontrol&refreqid=fastly-default%3A78e869b443ea6c0e104737db22b5a854</a> <a href="#fnref:1" class="footnote-back-ref">↩</a></p></li> <li id="fn:2"><p>Naslund, B. and A. Whinston (1962), "A Model of Multi-Period Investment under Uncertainty," Management Science, 8, No. 2, 184-200. [2] Retrieved September 24, 2020. <a href="https://www.jstor.org/stable/2627501?Search=yes&resultItemClick=true&searchText=(management%20science)%20AND%20(Naslund%20Bertil)&searchUri=%2Faction%2FdoBasicSearch%3FQuery%3DNaslund%2BBertil%26prq%3Dmanagement%2Bscience%26swp%3Don&ab_segments=0%2Fbasic_search_SYC-5455%2Fcontrol&refreqid=fastly-default%3A99711b4afe59bd073fa1d58b5788eec2" target="_blank">https://www.jstor.org/stable/2627501?Search=yes&resultItemClick=true&searchText=(management%20science)%20AND%20(Naslund%20Bertil)&searchUri=%2Faction%2FdoBasicSearch%3FQuery%3DNaslund%2BBertil%26prq%3Dmanagement%2Bscience%26swp%3Don&ab_segments=0%2Fbasic_search_SYC-5455%2Fcontrol&refreqid=fastly-default%3A99711b4afe59bd073fa1d58b5788eec2</a> <a href="#fnref:2" class="footnote-back-ref">↩</a></p></li> <li id="fn:3"><p>Agnew, N.H, R.A. Agnes, J. Rasmussen and K. R. Smith (1969), "An Application of Chance-Constrained Programming to Portfolio Selection in a Casualty Insurance Firm," Management Science, 15, No. 10, 512-520. [3]. Retrieved September 24, 2020. <a href="https://www.jstor.org/stable/2628459?Search=yes&resultItemClick=true&searchText=an%20application%20of%20chance%20constrained%20programming&searchUri=%2Faction%2FdoBasicSearch%3FQuery%3Dan%2Bapplication%2Bof%2Bchance%2Bconstrained%2Bprogramming&ab_segments=0%2Fbasic_search_SYC-5455%2Fcontrol&refreqid=fastly-default%3Ac66a912b771798f92fc98226d695291d" target="_blank">https://www.jstor.org/stable/2628459?Search=yes&resultItemClick=true&searchText=an%20application%20of%20chance%20constrained%20programming&searchUri=%2Faction%2FdoBasicSearch%3FQuery%3Dan%2Bapplication%2Bof%2Bchance%2Bconstrained%2Bprogramming&ab_segments=0%2Fbasic_search_SYC-5455%2Fcontrol&refreqid=fastly-default%3Ac66a912b771798f92fc98226d695291d</a> <a href="#fnref:3" class="footnote-back-ref">↩</a></p></li> <li id="fn:4"><p>Borch, K. H. (1968), The Economics of Uncertainty, Princeton University Press, Princeton. [4]. Retrieved September 24, 2020. <a href="/wiki/Karl_H._Borch" target="_blank">/wiki/Karl_H._Borch</a> <a href="#fnref:4" class="footnote-back-ref">↩</a></p></li> <li id="fn:5"><p>Seppälä, J. (1994), “The diversification of currency loans: A comparison between safety-first and mean-variance criteria,” European Journal of Operations Research, 74, 325-343. [5]. Retrieved September 25, 2020. <a href="https://www.sciencedirect.com/science/article/pii/0377221794901007" target="_blank">https://www.sciencedirect.com/science/article/pii/0377221794901007</a> <a href="#fnref:5" class="footnote-back-ref">↩</a></p></li> <li id="fn:6"><p>Bay, X., X. Zheng and X. Sun (2012), "A survey on probabilistic constrained optimization problems," Numerical Algebra, Control and Optimization, 2, No. 4, 767-778. [6]. Retrieved September 25, 2020. <a href="https://www.aimsciences.org/article/doi/10.3934/naco.2012.2.767" target="_blank">https://www.aimsciences.org/article/doi/10.3934/naco.2012.2.767</a> <a href="#fnref:6" class="footnote-back-ref">↩</a></p></li> <li id="fn:7"><p>Pyle, D. H. and Stephen J. Turnovsky (1971), “Risk Aversion in Chance Constrained Portfolio Selection, Management Science,18, No. 3, 218-225.[7]. Retrieved September 24, 2020. <a href="/wiki/Stephen_J._Turnovsky" target="_blank">/wiki/Stephen_J._Turnovsky</a> <a href="#fnref:7" class="footnote-back-ref">↩</a></p></li> </ol>