A Recourse Goal Programming Approach for the Portfolio Selection Problem

This paper presents a recourse goal programming approach to a multiple objective stochastic programming portfolio selection model. The main assumption of our approach is that the investor has a minimum acceptable expected rate of return to achieve under some predefined risk restrictions. The risk re...

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Vydáno v:INFOR. Information systems and operational research Ročník 50; číslo 3; s. 134 - 139
Hlavní autoři: Masmoudi, Meryem, Abdelaziz, Fouad Ben
Médium: Journal Article
Jazyk:angličtina
Vydáno: Ottawa Taylor & Francis 01.08.2012
Canadian Operational Research Society
Témata:
Beta
CAPM
Goal Programming
Multiobjective Stochastic Programming
Portfolio investments
Portfolio Selection
Recourse Approach
Stochastic models
Studies
ISSN:0315-5986, 1916-0615
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Shrnutí:This paper presents a recourse goal programming approach to a multiple objective stochastic programming portfolio selection model. The main assumption of our approach is that the investor has a minimum acceptable expected rate of return to achieve under some predefined risk restrictions. The risk restrictions are expressed through constraints on the optimal portfolio beta value. The model and the solution strategy are illustrated with data from securities listed in the S&P100 index.
Bibliografie:SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 14
ISSN:0315-5986
1916-0615
DOI:10.3138/infor.50.3.134