Abstract
The basic philosophy underlying investor portfolio stems from economic utility theory. Many mathematical models have been applied to portfolio selection, however a major drawback of these methods is that a vast majority of input data is needed which requires a large amount of computation.
The aim of this paper is to investigate the multi-objective approach of Goal Programming(GP) and its application to portfolio evaluation and selection. A two stage GP model is proposed. The first stage predicts the sensitivity of the shares to specific indicators. The second stage of the model selects a portfolio based on the decision maker’s priorities and goals together with the information produced by the first stage.
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© 1996 Springer-Verlag Berlin Heidelberg
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Tamiz, M., Hasham, R., Jones, D.F., Hesni, B., Fargher, E.K. (1996). A Two Staged Goal Programming Model for Portfolio Selection. In: Tamiz, M. (eds) Multi-Objective Programming and Goal Programming. Lecture Notes in Economics and Mathematical Systems, vol 432. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-87561-8_19
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DOI: https://doi.org/10.1007/978-3-642-87561-8_19
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-60662-8
Online ISBN: 978-3-642-87561-8
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