A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification

Davide La Torre and Marco Maggis

Papers from arXiv.org

Abstract: We extend the classical risk minimization model with scalar risk measures to the general case of set-valued risk measures. The problem we obtain is a set-valued optimization model and we propose a goal programming-based approach with satisfaction function to obtain a solution which represents the best compromise between goals and the achievement levels. Numerical examples are provided to illustrate how the method works in practical situations.

Date: 2012-01, Revised 2012-09
New Economics Papers: this item is included in nep-cmp and nep-rmg
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