PORTFOLIO MODELING IN MULTIPLE‐CRITERIA SITUATIONS UNDER UNCERTAINTY: COMMENT
对Muhlemann等人提出的多目标随机线性规划投资组合模型进行了扩展，并建议用整数目标规划结合模拟作为动态多目标问题的替代解法。
Abstract In a recent issue of Decision Sciences , Muhlemann, Lockett, and Gear [8] developed a multiple‐objective, stochastic linear programming formulation of the multiperiod portfolio selection problem under uncertainty. The purpose of this note is to offer some extensions to their multicriteria approach which is otherwise viewed as an excellent attempt at modeling realistic aspects of the portfolio selection problem. Further, integer goal programming combined with simulation is suggested as an alternate approach for solving the dynamic multiple‐objective problem.