Abstract
Goal programming stems from the Simonian paradigm describing decision makers as seekers of satisfying solutions rather than optimal solutions. Weighted Goal Programming (WGP) is usually viewed as a deterministic model, which provides satisfying solutions to multi-objective technological and economic problems in multiple criteria decision making analysis. Deterministic WGP is less appropriated to select securities portfolios because returns on securities are random variables. To accommodate WGP to portfolio selection, some stochastic versions of different strictness had been proposed. In this chapter, we deal with Mean-Variance Stochastic Goal Programming (MV-SGP) model, which relies on classic expected utility maximization theory, also known as Eu(R), Arrow’s risk aversion and Pratt’s approximation to expected utility.
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Ballestero, E., Garcia-Bernabeu, A., Hilario, A. (2015). Portfolio Selection by Goal Programming Techniques. In: Ballestero, E., Pérez-Gladish, B., Garcia-Bernabeu, A. (eds) Socially Responsible Investment. International Series in Operations Research & Management Science, vol 219. Springer, Cham. https://doi.org/10.1007/978-3-319-11836-9_5
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DOI: https://doi.org/10.1007/978-3-319-11836-9_5
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