Robust goal programming for multi-objective portfolio selection problem

Alireza Ghahtarani and Amir Abbas Najafi

Economic Modelling, 2013, vol. 33, issue C, 588-592

Abstract: This paper proposes a robust optimization model for the portfolio selection problem that uses a goal programming (GP) approach. In GP, decision makers can achieve more than one objective function. Some uncertain coefficients exist in both single and multi-objective models of the portfolio selection problem, which affects the feasibility and optimality of solutions. Robust optimization is an approach that deals with the uncertainty parameters in mathematical models, and guarantees the feasibility of the solutions. This paper tries to address the uncertainty parameters with robust optimization approach. This paper presents GP for the portfolio selection problem and addresses the uncertainty of the parameters by use of robust optimization approach. The approach is illustrated by a numerical example.

Keywords: Goal programming; Portfolio optimization; Robust optimization; Uncertainty parameters; Robust goal programming (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:33:y:2013:i:c:p:588-592

DOI: 10.1016/j.econmod.2013.05.006

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