Goal programming with extended factors for portfolio selection
| Autor: | Rania A. Azmi, Mehrdad Tamiz |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
021103 operations research
Actuarial science Application portfolio management Strategy and Management 0211 other engineering and technologies Efficient frontier Risk–return spectrum 02 engineering and technology Management Science and Operations Research Computer Science Applications Management of Technology and Innovation Goal programming 0202 electrical engineering electronic engineering information engineering Economics Econometrics Portfolio 020201 artificial intelligence & image processing Post-modern portfolio theory Business and International Management Portfolio optimization Selection (genetic algorithm) |
| Zdroj: | International Transactions in Operational Research. 26:2324-2336 |
| ISSN: | 1475-3995 0969-6016 |
| DOI: | 10.1111/itor.12423 |
| Popis: | This paper proposes and examines the use of several stock-related factors, called extended factors, for portfolio selection. These factors, including the traditional factors of risk and return, are represented as objectives in weighted goal programming (WGP) models. Several WGP models with passive and active target values and various weights for their unwanted deviational variables in their achievement functions have been developed. The weights and target values of the extended factors represent decision makers’ utility toward their portfolio. The resulting portfolios for the proposed models are compared against each other as well as against the Dow Jones Industrial Average index and portfolios obtained from the well-established Markowitz and Konno and Yamazaki's models. The experimental results strongly support the use of extended factors for portfolio selection problems and the assumption of meeting decision maker's preferences and utilities better than the portfolios based entirely on risk and return. |
| Databáze: | OpenAIRE |
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