The aim of this paper is to present an approach for solving the Stochastic Multi-Objective Programming (SMOP) and formulate a Stochastic Goal Programming model that will be applied to multi-attribute portfolio selection problem. The concept of satisfaction function will be utilized to incorporate explicitly the financial decision-maker’s preferences for selecting the best financial portfolio based on several conflicting objectives. The proposed approach will be illustrated through numerical examples from the Tunisian stock exchange market.

Solving Stochastic Multi-Objective Programming in Multi-Attribute Portfolio Selection through the Goal Programming Model

COLAPINTO, Cinzia;
2010-01-01

Abstract

The aim of this paper is to present an approach for solving the Stochastic Multi-Objective Programming (SMOP) and formulate a Stochastic Goal Programming model that will be applied to multi-attribute portfolio selection problem. The concept of satisfaction function will be utilized to incorporate explicitly the financial decision-maker’s preferences for selecting the best financial portfolio based on several conflicting objectives. The proposed approach will be illustrated through numerical examples from the Tunisian stock exchange market.
2010
6 (2)
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10278/25209
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