**Commenced**in January 2007

**Frequency:**Monthly

**Edition:**International

**Paper Count:**31103

##### Multi-Criteria Based Robust Markowitz Model under Box Uncertainty

**Authors:**
Pulak Swain,
A. K. Ojha

**Abstract:**

**Keywords:**
Multi-objective optimization,
Portfolio Optimization,
Robust Optimization,
e-constraint method,
Box Uncertainty

**References:**

[1] Markowitz, H., Portfolio Selection, Journal of Finance, Vol. 7, pp. 77-91 (1952).

[2] Markowitz, H., Portfolio Selection: efficient diversification of investments, Basil Blackwell, New York (1959).

[3] Meghwani, S. S., and Thakur, M. Multi-criteria algorithms for portfolio optimization under practical constraints. Swarm and evolutionary computation, 37, pp. 104-125 (2017).

[4] Konno, H., Waki, H., and Yuuki, A., Portfolio optimization under lower partial risk measures, Asia-Pacific Financial Markets, Vol. 9(2), pp. 127-140 (2002).

[5] Estrada, J., Mean-semivariance behavior: Downside risk and capital asset pricing. International Review of Economics & Finance, 16(2), pp. 169-185 (2007).

[6] Ben-Tal, A., and Nemirovski, A. Robust solutions of uncertain linear programs. Operations research letters, 25(1), pp. 1-13 (1999).

[7] Ben-Tal and A. Nemirovski. Robust optimization-methodology and applications. Mathematical Programming, 92(3), pp. 453-480 (2002).

[8] Bertsimas, D.B. Brown, and C. Caramanis. Theory and applications of robust optimization problem. SIAM Review. 53(3), pp. 464-501 (2011).

[9] Goldfarb, D., and Iyengar, G., Robust portfolio selection problems. Mathematics of operations research, 28(1), pp. 1-38 (2003).

[10] Rajan, M. P., and Rana, N. , A robust portfolio optimization in Indian Stock market. In 2011 World Congress on Information and Communication Technologies, pp. 645-650 (2011).

[11] Miettinen, K., Nonlinear multiobjective optimization Springer Science & Business Media, Vol. 12, (2012).

[12] Nayak, S., and Ojha, A. K., Multi-objective Linear Fractional Programming Problem with Fuzzy Parameters. In Soft Computing for Problem Solving . Springer, Singapore, pp. 79-90 (2019).

[13] Nayak, S., and Ojha, A., On multi-level multi-objective linear fractional programming problem with interval parameters. RAIRO-Operations Research, 53(5), pp. 1601-1616 (2019).