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 / B. Aouni, C. Colapinto, D. La Torre. - In: THE JOURNAL OF FINANCIAL DECISION MAKING. - ISSN 1790-4870. - 6:2(2010 Dec).

Solving stochastic multi-objective programming in multi-attribute portfolio selection through the goal programming model

C. Colapinto
Secondo
;
D. La Torre
Ultimo
2010

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
Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie
dic-2010
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/146327
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