A Review of Goal Programming for Portfolio Selection
 Rania Azmi,
 Mehrdad Tamiz
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Abstract
Goal Programming (GP) is the most widely used approach in the field of multiple criteria decision making that enables the decision maker to incorporate numerous variations of constraints and goals, particularly in the field of Portfolio Selection (PS). This paper gives a brief review of the application of GP and its variants to Portfolio Selection and analysis problems. The paper firstly discusses the MultiCriteria Decision Analysis in PS context in which GP is introduced as an important approach to PS Problems. An overview of performance measurement in portfolio selection context is also provided. Amongst the concluding remarks many issues in PS that may be addressed by GP such as multiperiod, different measures of risk, and extended factors influencing portfolio selection are listed.
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 Title
 A Review of Goal Programming for Portfolio Selection
 Book Title
 New Developments in Multiple Objective and Goal Programming
 Pages
 pp 1533
 Copyright
 2010
 DOI
 10.1007/9783642103544_2
 Print ISBN
 9783642103537
 Online ISBN
 9783642103544
 Series Title
 Lecture Notes in Economics and Mathematical Systems
 Series Volume
 638
 Series ISSN
 00758442
 Publisher
 Springer Berlin Heidelberg
 Copyright Holder
 SpringerVerlag Berlin Heidelberg
 Additional Links
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 Editors

 Dylan Jones ^{(ID1)}
 Mehrdad Tamiz ^{(ID2)}
 Jana Ries ^{(ID3)}
 Editor Affiliations

 ID1. University of Portsmouth
 ID2. College of Business & Administration, Kuwait University
 ID3. Dept. Mathematics, University of Portsmouth
 Authors

 Rania Azmi ^{(1)}
 Mehrdad Tamiz
 Author Affiliations

 1. University of Portsmouth, Portsmouth, UK
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