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A multiple stochastic goal programming approach for the agent portfolio selection problem

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Abstract

Stochastic goal programming is a suitable solution approach for multi-objective stochastic programs when a unique goal is settled for each objective function. In this paper, we address the case of multiple stochastic goals for an objective function. We derive results from studying the agent portfolio selection problem. The proposed multiple stochastic goal programming approach allows investors to set different goals for the return objective function. A chance constrained approach is proposed to address the stochastic investors’ minimum acceptable rate of return and a recourse approach to deal with investors’ ideal rate of return. An empirical study from Bahrain stock market is reported.

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Authors and Affiliations

  1. College of Business Administration, University of Bahrain, P.O. Box 32038, Sakhir, Kingdom of Bahrain

    Hatem Masri

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  1. Hatem Masri
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Correspondence to Hatem Masri.

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The work in this paper was funded by the University of Bahrain.

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Masri, H. A multiple stochastic goal programming approach for the agent portfolio selection problem. Ann Oper Res 251, 179–192 (2017). https://doi.org/10.1007/s10479-015-1884-7

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  • DOI: https://doi.org/10.1007/s10479-015-1884-7

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