A Recourse Goal Programming Approach for the Portfolio Selection Problem

被引：8
|
作者：
Masmoudi, Meryem [1 ]
Ben Abdelaziz, Fouad [2 ]
机构：
[1] Univ Tunis, Inst Super Gest, LARODEC, Le Bardo 2000, Tunisia
[2] Rouen Business Sch, F-76130 Mont St Aignan, France
来源：
INFOR | 2012年 / 50卷 / 03期
关键词：
Portfolio Selection; Multiobjective Stochastic Programming; Recourse Approach; Goal Programming; CAPM; Beta;
D O I：
10.3138/infor.50.3.134
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
This paper presents a recourse goal programming approach to a multiple objective stochastic programming portfolio selection model. The main assumption of our approach is that the investor has a minimum acceptable expected rate of return to achieve under some predefined risk restrictions. The risk restrictions are expressed through constraints on the optimal portfolio beta value. The model and the solution strategy are illustrated with data from securities listed in the S&P100 index.
引用
收藏
页码：134 / 139
页数：6
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