Goal programming for financial portfolio management: a state-of-the-art review

Abstract

Over the last decades, the Goal Programming (GP) model has been applied to financial portfolio management and/or selection problem in decision-making contexts where several conflicting and incommensurable objectives are simultaneously aggregated. The aim of this paper is to identify the research trends and publication outlets for the application of GP model to portfolio management. We point out an increasing interest and affirmation of more sophisticated models. We present a characterization of the existing GP variants and provide historical data and statistical analysis.