Journal
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
Volume 234, Issue 2, Pages 536-545Publisher
ELSEVIER
DOI: 10.1016/j.ejor.2013.09.040
Keywords
Multi-attribute portfolio management; Goal programming; Typology
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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. (C) 2013 Elsevier B.V. All rights reserved.
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