Goal programming for financial portfolio management: a state-of-the-art review

Cinzia Colapinto (), Davide Torre () and Belaid Aouni ()
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Cinzia Colapinto: Nazarbayev University
Davide Torre: University of Milan
Belaid Aouni: Qatar University

Operational Research, 2019, vol. 19, issue 3, No 7, 717-736

Abstract: Abstract Over the last decades, the Goal Programming (GP) model has been applied to financial portfolio management and/or selection problem in decision-making contexts where several conflicting and incommensurable objectives are simultaneously aggregated. The aim of this paper is to identify the research trends and publication outlets for the application of GP model to portfolio management. We point out an increasing interest and affirmation of more sophisticated models. We present a characterization of the existing GP variants and provide historical data and statistical analysis.

Keywords: Goal programming; Financial portfolio selection; Typology (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s12351-017-0337-2

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