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

محورهای موضوعی : Mathematical Optimization

N Mansour ¹ (Assistant Professor, Faculté des Sciences Economiques et de Gestion de Mahdia, Mahdia, Tunisia)
A Rebai ² (Professor, Institut Supérieur d’Administration des Affaires de Sfax, Sfax, Tunisia)
B Aouni ³ (Professor, Decision Aid Research Group, School of Commerce and Administration, Faculty of Management, Laurentian University, Sudbury (Ontario) P3E 2C6, Canada)

تاریخ دریافت : 1394/02/28 تاریخ پذیرش : 1394/02/28 تاریخ انتشار : 1386/04/10

کلید واژه: Portfolio Selection, Imprecise goal programming, Satisfaction function, Manager’s preferences,

چکیده مقاله :

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.