portfolio selection through imprecise goal programming model: integration of the manager`s preferences

نویسندگان

n mansour

a rebai

b aouni

چکیده

in the portfolio selection problem, the manager considers several objectives simultaneously such as the rate of return, the liquidity and the risk of portfolios. these objectives are conflicting and incommensurable. moreover, the objectives can be imprecise. generally, the portfolio manager seeks the best combination of the stocks that meets his investment objectives. the imprecise goal programming model will be utilized to build the most satisfactory portfolio. the concept of satisfaction functions will be utilized to integrate explicitly the preferences of the portfolio’s manager. the developed model has been applied to portfolio selection within the tunisian stock exchange market.

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Portfolio selection through imprecise Goal Programming model: Integration of the manager`s preferences

In the portfolio selection problem, the manager considers several objectives simultaneously such as the rate of return, the liquidity and the risk of portfolios. These objectives are conflicting and incommensurable. Moreover, the objectives can be imprecise. Generally, the portfolio manager seeks the best combination of the stocks that meets his investment objectives. The imprecise Goal Program...

متن کامل

A Fuzzy Goal Programming Model for Efficient Portfolio Selection.

This paper considers a multi-objective portfolio selection problem imposed by gaining of portfolio, divided yield and risk control in an ambiguous investment environment, in which the return and risk are characterized by probabilistic numbers. Based on the theory of possibility, a new multi-objective portfolio optimization model with gaining of portfolio, divided yield and risk control is propo...

متن کامل

A two-stage robust model for portfolio selection by using goal programming

In portfolio selection models, uncertainty plays an important role. The parameter’s uncertainty leads to getting away from optimal solution so it is needed to consider that in models. In this paper we presented a two-stage robust model that in first stage determines the desired percentage of investment in each industrial group by using return and risk measures from different industries. One rea...

متن کامل

Extension of Portfolio Selection Problem with Fuzzy Goal Programming: A Fuzzy Allocated Portfolio Approach

Recently, the economic crisis has resulted in instability in stock exchange market and this has caused high volatilities in stock value of exchanged firms. Under these conditions, considering uncertainty for a favorite investment is more serious than before. Multi-objective Portfolio selection (Return, Liquidity, Risk and Initial cost of Investment objectives) using MINMAX fuzzy goal programmin...

متن کامل

Lexicographic goal programming approach for portfolio optimization

This paper will investigate the optimum portfolio for an investor, taking into account 5 criteria. The mean variance model of portfolio optimization that was introduced by Markowitz includes two objective functions; these two criteria, risk and return do not encompass all of the information about investment; information like annual dividends, S&P star ranking and return in later years which is ...

متن کامل

A Comprehensive Model for R and D Project Portfolio Selection with Zero-One Linear Goal-Programming (RESEARCH NOTE)

Technology centered organizations must be able to identify promising new products or process improvements at an early stage so that the necessary resources can be allocated to those activities. It is essential to invest in targeted research and development (R and D) projects as opposed to a wide range of ideas so that resources can be focused on successful outcomes. The selection of the most ap...

متن کامل

منابع من

با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید


عنوان ژورنال:
journal of industrial engineering, international

ISSN 1735-5702

دوره 3

شماره 5 2007

میزبانی شده توسط پلتفرم ابری doprax.com

copyright © 2015-2023