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.File in questo prodotto:
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