Financial portfolio management through the goal programming model: Current state-of-the-art
Author | Aouni, Belaid |
Author | Colapinto, Cinzia |
Author | La Torre, Davide |
Available date | 2016-03-09T14:00:54Z |
Publication Date | 2014-04 |
Publication Name | European Journal of Operational Research |
Resource | Scopus |
Identifier | http://dx.doi.org/10.1016/j.ejor.2013.09.040 |
Citation | Aouni, 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. |
ISSN | 0377-2217 |
Abstract | Since 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. |
Language | en |
Publisher | Elsevier B.V. |
Subject | Goal programming Multi-attribute portfolio management Typology |
Type | Article |
Pagination | 536-545 |
Issue Number | 2 |
Volume Number | 234 |
Check access options
Files in this item
Files | Size | Format | View |
---|---|---|---|
There are no files associated with this item. |
This item appears in the following Collection(s)
-
Management & Marketing [701 items ]