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

被引：5
|
作者：
Colapinto, Cinzia [1 ,2 ]
La Torre, Davide [3 ,4 ]
Aouni, Belaid [5 ]
机构：
[1] Nazarbayev Univ, Grad Sch Business, 53 Kabanbay Batyr Ave,Block C3, Astana 010000, Kazakhstan
[2] Ca Foscari Univ Venice, Dept Management, Cannaregio,873,Fondamenta San Giobbe, I-30121 Venice, Italy
[3] Univ Milan, Dept Econ Management & Quantitat Methods, I-20122 Milan, Italy
[4] Nazarbayev Univ, Dept Math, Astana 010000, Kazakhstan
[5] Qatar Univ, Coll Business & Econ, Doha 2713, Qatar
来源：
OPERATIONAL RESEARCH | 2019年 / 19卷 / 03期
关键词：
Goal programming; Financial portfolio selection; Typology; DECISION-MAKERS PREFERENCES; MULTICRITERIA METHODOLOGY; FUZZY-SETS; SELECTION; MODEL; STOCK; SKEWNESS;
D O I：
10.1007/s12351-017-0337-2
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
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.
引用
收藏
页码：717 / 736
页数：20
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