The Investor’s Preferences in the Portfolio Selection Problem Based on the Goal Programming Approach

Donata Kopańska-Bródka (), Renata Dudzińska-Baryła () and Ewa Michalska ()
Additional contact information
Donata Kopańska-Bródka: University of Economics in Katowice
Renata Dudzińska-Baryła: University of Economics in Katowice
Ewa Michalska: University of Economics in Katowice

Chapter Chapter 11 in Effective Investments on Capital Markets, 2019, pp 151-163 from Springer

Abstract: Abstract Goal programming is the approach used for multicriteria decision making when the decision maker aims to minimize deviations between the achievement of goals and their aspiration levels. In the presence of skewness in the portfolio selection problems, the goal programming technique is an excellent and powerful quantitative tool in which the investor’s preferences among objectives are incorporated. In this study, in the mean–variance–skewness framework, the utilization of the goal programming model allows to determine the trade-off frontier or efficient frontier for a given level of decision maker’s preferences in relation to the selected parameters. Each change in the strength of preference for the expected value in relation to the third moment is a trade-off frontier in the appropriate two-dimensional space or on the surface of efficient portfolios in three-dimensional space.

Keywords: Mean–variance–skewness portfolios; Efficient frontier; Trade-off frontier; Goal programming (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations:

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:prbchp:978-3-030-21274-2_11

Ordering information: This item can be ordered from
http://www.springer.com/9783030212742

DOI: 10.1007/978-3-030-21274-2_11

Access Statistics for this chapter

More chapters in Springer Proceedings in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().