توسعه مدل برنامه‌ریزی تصادفی برای مسأله انتخاب سبد دارایی چنددوره‌ای

Borges, M.R. (2010), "Efficient market hypothesis in European stock markets", European Journal of Finance, No. 16, PP. 711–726.

Chang, T.J., Meade, N., Beasley, J., Sharaiha, Y. (2000), "Heuristics for cardinality constrained portfolio optimization", Computers & Operations Research, No. 27, PP. 1271–1302.

Dantzig, G.B., Infanger, G. (1993), "Multi-stage stochastic linear programs for portfolio optimization", Annals of Operations Research, No. 45, PP. 59-76.

Davari-Ardakani, H., Aminnayeri, M., Seifi, A. (2014), "A study on modeling the dynamics of statistically dependent returns", Physica A: Statistical Mechanics and its Applications, No. 405, PP. 35-51

Davari-Ardakani, H., Aminnayeri, M., Seifi, A. (2015), "Hedging strategies for multi-period portfolio optimization", Scientia Iranica, No. 22, PP. 2644-2663.

Davari-Ardakani, H., Aminnayeri, M., Seifi, A. (2016), "Multistage portfolio optimization with stocks and options", International Transactions in Operational Research, No. 23, PP. 593-622.

Ferstl, R., Weissensteiner, A. (2010), "Cash management using multi-stage stochastic programming", Quantitative Finance, No. 10, PP. 209–219.

Jacobsen, B. (1996), "Long term dependence in stock returns", Journal of Empirical Finance, No. 3, PP. 393–417.

Ji, X., Zhu, Sh., Wang, Sh., Zhang, Sh. (2005), "A stochastic linear goal programming approach to multistage portfolio management based on scenario generation via linear programming", IIE Transactions, No. 37, PP. 957-969.

Liu, Y.J., Zhang, W.G. (2015), "A multi-period fuzzy portfolio optimization model with minimum transaction lots", European Journal of Operational Research, No. 242, PP. 933–941.

Lux, T. (1996), "Long term stochastic dependence in financial prices: evidence from German stock market", Applied Economic Letters, No. 3, PP. 701–706.

Mansini, R., Ogryczak, W., Speranza, M.G. (2014), "Twenty years of linear programming based portfolio optimization", European Journal of Operational Research, No. 234, PP. 518-535.

Markowitz, H. (1952), "Portfolio selection", Journal of Finance, No. 7, PP. 77-91

Markowitz, H. (1959), "Portfolio Selection: Efficient Diversification of Investments", John Wiley & Sons, New York.

Mulvey, J.M., Pauling, W.R. , Madey, R.E. (2003), "Advantages of multiperiod portfolio models", Journal of Portfolio Management, No. 29, PP. 35-45.

Pınar, M.Ç. (2007), "Robust scenario optimization based on downside-risk measure for multi-period portfolio selection", OR Spectrum, No. 29, PP. 295-309.

Rockafellar, R.T., Ursayev, S. (2000), "Optimization of Conditional Value-at-Risk", Journal of Risk, No. 2, PP. 21-41.

Şakar, C.T., Köksalan, M. (2013), "A stochastic programming approach to multicriteria portfolio optimization", Journal of Global Optimization, No. 57, PP. 299-314.

Sensoy, A., Tabak, B.M. (2015), "Time-varying long term memory in the European Union stock markets", Physica A: Statistical Mechanics and its Applications, No. 436, PP. 147–158.

Sharpe, W.F. (1971), "Mean-absolute deviation characteristic lines for securities and portfolios", Management Science, No. 18, PP. B1–B13.

Soleimani, H., Golmakani, H.R., Salimi, M.H. (2009), "Markowitz-based portfolio selection with minimum transaction lots, cardinality constraints and regarding sector capitalization using genetic algorithm", Expert Systems with Applications, No. 36, PP. 5058–5063.

Testuri, C.E., Uryasev, S. (2004), "On relation between expected regret and conditional Value-at-Risk", in: Z. Rachev (Ed.), Handbook of Computational and Numerical Methods in Finance, Birkhauser, PP. 361–373.

Topaloglou, N. (2004), “A stochastic programming framework for international portfolio management”, PhD dissertation, University of Cyprus.

Topaloglou, N., Vladimirou, H., Zenios, S.A. (2011), "Optimizing international portfolios with options and forwards", Journal of Banking & Finance, No. 35, PP. 3188-3201.

Worthington, A.C., Higgs, H. (2004), "Random walks and market efficiency in European equity markets", Global Journal of Finance and Economics, No. 1, PP. 59–78.