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AuthorAouni, Belaid
AuthorColapinto, Cinzia
AuthorLa Torre, Davide
Available date2016-03-09T14:00:54Z
Publication Date2014-04
Publication NameEuropean Journal of Operational Research
Identifierhttp://dx.doi.org/10.1016/j.ejor.2013.09.040
CitationAouni, B., Colapinto, C., La Torre, D. "Financial portfolio management through the goal programming model: Current state-of-the-art" (2014) European Journal of Operational Research, 234 (2), pp. 536-545.
ISSN0377-2217
URIhttp://hdl.handle.net/10576/4227
AbstractSince Markowitz (1952) formulated the portfolio selection problem, many researchers have developed models aggregating simultaneously several conflicting attributes such as: the return on investment, risk and liquidity. The portfolio manager generally seeks the best combination of stocks/assets that meets his/her investment objectives. The Goal Programming (GP) model is widely applied to finance and portfolio management. The aim of this paper is to present the different variants of the GP model that have been applied to the financial portfolio selection problem from the 1970s to nowadays.
Languageen
PublisherElsevier B.V.
SubjectGoal programming
SubjectMulti-attribute portfolio management
SubjectTypology
TitleFinancial portfolio management through the goal programming model: Current state-of-the-art
TypeArticle
Pagination536-545
Issue Number2
Volume Number234


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