A Review of Goal Programming for Portfolio Selection

Rania Azmi () and Mehrdad Tamiz
Additional contact information
Rania Azmi: University of Portsmouth

A chapter in New Developments in Multiple Objective and Goal Programming, 2010, pp 15-33 from Springer

Abstract: Abstract Goal Programming (GP) is the most widely used approach in the field of multiple criteria decision making that enables the decision maker to incorporate numerous variations of constraints and goals, particularly in the field of Portfolio Selection (PS). This paper gives a brief review of the application of GP and its variants to Portfolio Selection and analysis problems. The paper firstly discusses the Multi-Criteria Decision Analysis in PS context in which GP is introduced as an important approach to PS Problems. An overview of performance measurement in portfolio selection context is also provided. Amongst the concluding remarks many issues in PS that may be addressed by GP such as multi-period, different measures of risk, and extended factors influencing portfolio selection are listed.

Keywords: Goal Programming; Portfolio Selection; Capital Asset Price Model; Goal Programming Model; Portfolio Selection Model (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations: View citations in EconPapers (13)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:lnechp:978-3-642-10354-4_2

Ordering information: This item can be ordered from
http://www.springer.com/9783642103544

DOI: 10.1007/978-3-642-10354-4_2

Access Statistics for this chapter

More chapters in Lecture Notes in Economics and Mathematical Systems from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().