A Review of Goal Programming for Portfolio Selection

Conference paper

DOI: 10.1007/978-3-642-10354-4_2

Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 638)
Cite this paper as:
Azmi R., Tamiz M. (2010) A Review of Goal Programming for Portfolio Selection. In: Jones D., Tamiz M., Ries J. (eds) New Developments in Multiple Objective and Goal Programming. Lecture Notes in Economics and Mathematical Systems, vol 638. Springer, Berlin, Heidelberg

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 Multi-Criteria 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 multi-period, different measures of risk, and extended factors influencing portfolio selection are listed.

Copyright information

© Springer-Verlag Berlin Heidelberg 2010

Authors and Affiliations

  1. 1.University of PortsmouthPortsmouthUK

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