{"id":"https://openalex.org/W4398173841","doi":"https://doi.org/10.1007/s10479-023-05811-7","title":"Robust, extended goal programming with uncertainty sets: an application to a multi-objective portfolio selection problem leveraging DEA","display_name":"Robust, extended goal programming with uncertainty sets: an application to a multi-objective portfolio selection problem leveraging DEA","publication_year":2024,"publication_date":"2024-05-21","ids":{"openalex":"https://openalex.org/W4398173841","doi":"https://doi.org/10.1007/s10479-023-05811-7"},"language":"en","primary_location":{"id":"doi:10.1007/s10479-023-05811-7","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10479-023-05811-7","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annals of Operations Research","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://doi.org/10.1007/s10479-023-05811-7","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5098733410","display_name":"Naeem Mohseny-Tonekabony","orcid":null},"institutions":[{"id":"https://openalex.org/I67009956","display_name":"Iran University of Science and Technology","ror":"https://ror.org/01jw2p796","country_code":"IR","type":"education","lineage":["https://openalex.org/I67009956"]}],"countries":["IR"],"is_corresponding":false,"raw_author_name":"Naeem Mohseny-Tonekabony","raw_affiliation_strings":["School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran","institution_ids":["https://openalex.org/I67009956"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5054891554","display_name":"Seyed Jafar Sadjadi","orcid":"https://orcid.org/0000-0002-9069-5453"},"institutions":[{"id":"https://openalex.org/I67009956","display_name":"Iran University of Science and Technology","ror":"https://ror.org/01jw2p796","country_code":"IR","type":"education","lineage":["https://openalex.org/I67009956"]}],"countries":["IR"],"is_corresponding":false,"raw_author_name":"Seyed Jafar Sadjadi","raw_affiliation_strings":["School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran","institution_ids":["https://openalex.org/I67009956"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5091133707","display_name":"Emran Mohammadi","orcid":"https://orcid.org/0000-0001-9965-1118"},"institutions":[{"id":"https://openalex.org/I67009956","display_name":"Iran University of Science and Technology","ror":"https://ror.org/01jw2p796","country_code":"IR","type":"education","lineage":["https://openalex.org/I67009956"]}],"countries":["IR"],"is_corresponding":false,"raw_author_name":"Emran Mohammadi","raw_affiliation_strings":["School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"School of Industrial Engineering, Iran University of Science and Technology, Tehran, Iran","institution_ids":["https://openalex.org/I67009956"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5035451019","display_name":"Mehrdad Tamiz","orcid":null},"institutions":[{"id":"https://openalex.org/I59944920","display_name":"Ya\u015far University","ror":"https://ror.org/00dz1eb96","country_code":"TR","type":"education","lineage":["https://openalex.org/I59944920"]}],"countries":["TR"],"is_corresponding":false,"raw_author_name":"Mehrdad Tamiz","raw_affiliation_strings":["Department of Industrial Engineering, Ya\u015far University, Izmir, Turkey"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Industrial Engineering, Ya\u015far University, Izmir, Turkey","institution_ids":["https://openalex.org/I59944920"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5074589588","display_name":"Dylan Jones","orcid":"https://orcid.org/0000-0002-9101-746X"},"institutions":[{"id":"https://openalex.org/I63072094","display_name":"University of Portsmouth","ror":"https://ror.org/03ykbk197","country_code":"GB","type":"education","lineage":["https://openalex.org/I63072094"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"Dylan F. Jones","raw_affiliation_strings":["Centre for Operational Research and Logistics, School of Mathematics and Physics, University of Portsmouth, Portsmouth, UK"],"raw_orcid":"https://orcid.org/0000-0002-9101-746X","affiliations":[{"raw_affiliation_string":"Centre for Operational Research and Logistics, School of Mathematics and Physics, University of Portsmouth, Portsmouth, UK","institution_ids":["https://openalex.org/I63072094"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5074589588"],"corresponding_institution_ids":["https://openalex.org/I63072094"],"apc_list":{"value":3090,"currency":"USD","value_usd":3090},"apc_paid":{"value":3090,"currency":"USD","value_usd":3090},"fwci":4.4898,"has_fulltext":false,"cited_by_count":25,"citation_normalized_percentile":{"value":0.95601343,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":98,"max":100},"biblio":{"volume":"346","issue":"2","first_page":"1497","last_page":"1552"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T12709","display_name":"Optimization and Mathematical Programming","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2207","display_name":"Control and Systems Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},"topics":[{"id":"https://openalex.org/T12709","display_name":"Optimization and Mathematical Programming","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2207","display_name":"Control and Systems Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9868000149726868,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10357","display_name":"Efficiency Analysis Using DEA","score":0.9832000136375427,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/goal-programming","display_name":"Goal programming","score":0.7597692012786865},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6933304071426392},{"id":"https://openalex.org/keywords/selection","display_name":"Selection (genetic algorithm)","score":0.6598489880561829},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6424217224121094},{"id":"https://openalex.org/keywords/robust-optimization","display_name":"Robust optimization","score":0.5219213962554932},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.4371492266654968},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.42976754903793335},{"id":"https://openalex.org/keywords/operations-research","display_name":"Operations research","score":0.38164374232292175},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.34799158573150635},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.3304756283760071},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.16223052144050598},{"id":"https://openalex.org/keywords/engineering","display_name":"Engineering","score":0.15599864721298218},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.1452462375164032},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.07419028878211975}],"concepts":[{"id":"https://openalex.org/C61157135","wikidata":"https://www.wikidata.org/wiki/Q1345279","display_name":"Goal programming","level":2,"score":0.7597692012786865},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6933304071426392},{"id":"https://openalex.org/C81917197","wikidata":"https://www.wikidata.org/wiki/Q628760","display_name":"Selection (genetic algorithm)","level":2,"score":0.6598489880561829},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6424217224121094},{"id":"https://openalex.org/C193254401","wikidata":"https://www.wikidata.org/wiki/Q2160088","display_name":"Robust optimization","level":2,"score":0.5219213962554932},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4371492266654968},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.42976754903793335},{"id":"https://openalex.org/C42475967","wikidata":"https://www.wikidata.org/wiki/Q194292","display_name":"Operations research","level":1,"score":0.38164374232292175},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.34799158573150635},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.3304756283760071},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.16223052144050598},{"id":"https://openalex.org/C127413603","wikidata":"https://www.wikidata.org/wiki/Q11023","display_name":"Engineering","level":0,"score":0.15599864721298218},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.1452462375164032},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.07419028878211975}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s10479-023-05811-7","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10479-023-05811-7","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annals of Operations Research","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:annopr:v:346:y:2025:i:2:d:10.1007_s10479-023-05811-7","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10479-023-05811-7","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"doi:10.1007/s10479-023-05811-7","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10479-023-05811-7","pdf_url":null,"source":{"id":"https://openalex.org/S57667410","display_name":"Annals of Operations Research","issn_l":"0254-5330","issn":["0254-5330","1572-9338"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Annals of Operations Research","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":94,"referenced_works":["https://openalex.org/W181550721","https://openalex.org/W252709356","https://openalex.org/W633916340","https://openalex.org/W645230176","https://openalex.org/W1666185896","https://openalex.org/W1775508784","https://openalex.org/W1785249454","https://openalex.org/W1924412491","https://openalex.org/W1965118331","https://openalex.org/W1972016304","https://openalex.org/W1972313188","https://openalex.org/W1972560205","https://openalex.org/W1977131966","https://openalex.org/W1980043390","https://openalex.org/W1982109520","https://openalex.org/W1990275757","https://openalex.org/W1990316063","https://openalex.org/W2003777645","https://openalex.org/W2009747617","https://openalex.org/W2022675152","https://openalex.org/W2028453732","https://openalex.org/W2029148771","https://openalex.org/W2050878863","https://openalex.org/W2052658730","https://openalex.org/W2060156946","https://openalex.org/W2062176950","https://openalex.org/W2064975791","https://openalex.org/W2066068791","https://openalex.org/W2073489444","https://openalex.org/W2074531309","https://openalex.org/W2076452041","https://openalex.org/W2077533982","https://openalex.org/W2083462175","https://openalex.org/W2089105401","https://openalex.org/W2090822694","https://openalex.org/W2093464379","https://openalex.org/W2096216097","https://openalex.org/W2110250287","https://openalex.org/W2118578357","https://openalex.org/W2123851407","https://openalex.org/W2150220236","https://openalex.org/W2162788287","https://openalex.org/W2163653900","https://openalex.org/W2165775468","https://openalex.org/W2166797334","https://openalex.org/W2473825645","https://openalex.org/W2513614921","https://openalex.org/W2581029168","https://openalex.org/W2598283809","https://openalex.org/W2620545585","https://openalex.org/W2750220379","https://openalex.org/W2786573875","https://openalex.org/W2800940658","https://openalex.org/W2808000920","https://openalex.org/W2891503741","https://openalex.org/W2896000537","https://openalex.org/W2899370433","https://openalex.org/W2946044473","https://openalex.org/W2950140709","https://openalex.org/W2961570542","https://openalex.org/W2966811817","https://openalex.org/W2977038516","https://openalex.org/W2981837100","https://openalex.org/W3009534570","https://openalex.org/W3013564545","https://openalex.org/W3021248164","https://openalex.org/W3034419191","https://openalex.org/W3035945969","https://openalex.org/W3037049426","https://openalex.org/W3039777092","https://openalex.org/W3092128800","https://openalex.org/W3098214884","https://openalex.org/W3121863257","https://openalex.org/W3130300722","https://openalex.org/W3136458415","https://openalex.org/W3144120116","https://openalex.org/W3158667827","https://openalex.org/W3166449573","https://openalex.org/W3173204811","https://openalex.org/W3201659060","https://openalex.org/W4207016206","https://openalex.org/W4211105675","https://openalex.org/W4214913077","https://openalex.org/W4241584625","https://openalex.org/W4251616545","https://openalex.org/W4280503608","https://openalex.org/W4284886895","https://openalex.org/W4285595287","https://openalex.org/W4286203253","https://openalex.org/W4292289058","https://openalex.org/W4367368742","https://openalex.org/W4385188025","https://openalex.org/W6631914172","https://openalex.org/W6807091881"],"related_works":["https://openalex.org/W2363364691","https://openalex.org/W1986311305","https://openalex.org/W4360613713","https://openalex.org/W3125148470","https://openalex.org/W2768197547","https://openalex.org/W2055959038","https://openalex.org/W4384826939","https://openalex.org/W4206877017","https://openalex.org/W4225528185","https://openalex.org/W4327779378"],"abstract_inverted_index":{"Abstract":[0],"This":[1],"study":[2],"presents":[3],"a":[4,20,55,72,196,235,261],"two-phase":[5],"approach":[6,34,224],"of":[7,30,58,110,118,166,179,199,221,242],"Data":[8],"Envelopment":[9],"Analysis":[10],"(DEA)":[11],"and":[12,40,48,65,139,168,188,191,257,266,274],"Goal":[13],"Programming":[14],"(GP)":[15],"for":[16,54,92],"portfolio":[17,31,59,94,227,268],"selection,":[18],"representing":[19],"pioneering":[21],"attempt":[22],"at":[23],"combining":[24],"these":[25],"techniques":[26],"within":[27,124],"the":[28,37,90,100,107,115,119,125,154,180,211,219,222,240,246],"context":[29],"selection.":[32],"The":[33,68,96,150,250],"expands":[35],"on":[36,86,207,245],"conventional":[38],"risk":[39],"return":[41],"framework":[42,252],"by":[43,80,159,173,270],"incorporating":[44,174],"additional":[45],"financial":[46,134,202,276],"factors":[47,135],"addressing":[49],"data":[50,144,209],"uncertainty,":[51,145,273],"which":[52,105],"allows":[53],"thorough":[56],"examination":[57],"outcomes":[60],"while":[61],"accommodating":[62],"investor":[63,111],"preferences":[64,112],"conservatism":[66],"levels.":[67],"initial":[69],"phase":[70,98],"employs":[71],"super-efficiency":[73],"DEA":[74],"model":[75],"to":[76,113,131,153,255],"streamline":[77],"asset":[78],"selection":[79,228],"identifying":[81],"suitable":[82],"investment":[83],"candidates":[84],"based":[85,206],"efficiency":[87],"scores,":[88],"setting":[89],"stage":[91],"subsequent":[93],"optimization.":[95],"second":[97],"leverages":[99],"Extended":[101],"GP":[102,156,171],"(EGP)":[103],"framework,":[104],"facilitates":[106],"comprehensive":[108,236],"incorporation":[109],"determine":[114],"optimal":[116],"weights":[117],"efficient":[120],"assets":[121],"previously":[122],"identified":[123],"portfolio.":[126],"Each":[127],"goal":[128],"is":[129,148],"tailored":[130],"reflect":[132],"specific":[133],"spanning":[136],"both":[137],"technical":[138],"fundamental":[140],"aspects.":[141],"To":[142],"tackle":[143],"robust":[146,155,247,267],"optimization":[147],"applied.":[149],"research":[151],"contributes":[152],"(RGP)":[157],"literature":[158],"analyzing":[160],"new":[161],"RGP":[162],"variants,":[163],"overcoming":[164],"limitations":[165],"traditional":[167,226],"other":[169],"uncertain":[170],"models":[172,182],"uncertainty":[175,193,200,232,243],"sets.":[176],"Robust":[177],"counterparts":[178],"EGP":[181,248],"are":[183],"accordingly":[184],"developed":[185],"using":[186],"polyhedral":[187,192],"combined":[189],"interval":[190],"sets,":[194],"providing":[195],"flexible":[197],"representation":[198],"in":[201],"markets.":[203],"Empirical":[204],"results,":[205],"real":[208],"from":[210],"Tehran":[212],"Stock":[213],"Exchange":[214],"comprising":[215],"779":[216],"assets,":[217],"demonstrate":[218],"superiority":[220],"proposed":[223,251],"over":[225],"methods":[229],"across":[230],"various":[231],"settings.":[233],"Additionally,":[234],"sensitivity":[237],"analysis":[238],"investigates":[239],"impact":[241],"levels":[244],"models.":[249],"offers":[253],"guidance":[254],"investors":[256],"fund":[258],"managers":[259],"through":[260],"pragmatic":[262],"approach,":[263],"enabling":[264],"informed":[265],"decisions":[269],"considering":[271],"efficiency,":[272],"extended":[275],"factors.":[277]},"counts_by_year":[{"year":2026,"cited_by_count":9},{"year":2025,"cited_by_count":11},{"year":2024,"cited_by_count":5}],"updated_date":"2026-08-21T09:56:20.448147","created_date":"2025-10-10T00:00:00"}