Financial portfolio management through the goal programming model: Current state-of-the-art

Belaid Aouni, Cinzia Colapinto () and Davide La Torre

European Journal of Operational Research, 2014, vol. 234, issue 2, 536-545

Abstract: Since Markowitz (1952) formulated the portfolio selection problem, many researchers have developed models aggregating simultaneously several conflicting attributes such as: the return on investment, risk and liquidity. The portfolio manager generally seeks the best combination of stocks/assets that meets his/her investment objectives. The Goal Programming (GP) model is widely applied to finance and portfolio management. The aim of this paper is to present the different variants of the GP model that have been applied to the financial portfolio selection problem from the 1970s to nowadays.

Keywords: Multi-attribute portfolio management; Goal programming; Typology (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (42)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:234:y:2014:i:2:p:536-545

DOI: 10.1016/j.ejor.2013.09.040

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