Financial portfolio management through the goal programming model: Current state-of-the-art

被引：84
|
作者：
Aouni, Belaid [1 ]
Colapinto, Cinzia [2 ]
La Torre, Davide [3 ,4 ]
机构：
[1] Qatar Univ, Coll Business & Econ, Management & Mkt Dept, Doha, Qatar
[2] Ca Foscari Univ Venice, Dept Management, I-30121 Venice, Italy
[3] Univ Milan, Dept Econ Management & Quantitat Methods, I-20122 Milan, Italy
[4] Khalifa Univ, Dept Appl Math & Sci, Abu Dhabi, U Arab Emirates
来源：
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2014年 / 234卷 / 02期
关键词：
Multi-attribute portfolio management; Goal programming; Typology; DECISION-MAKERS PREFERENCES; MULTICRITERIA METHODOLOGY; SELECTING PORTFOLIOS; LIABILITY MANAGEMENT; OPTIMUM PORTFOLIO; OPTIMIZATION; STOCK; SKEWNESS; ASSET; UNCERTAINTY;
D O I：
10.1016/j.ejor.2013.09.040
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
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. (C) 2013 Elsevier B.V. All rights reserved.
引用
收藏
页码：536 / 545
页数：10
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