portfolio selection through imprecise goal programming model: integration of the manager`s preferences
نویسندگان
چکیده
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.
منابع مشابه
Portfolio selection through imprecise Goal Programming model: Integration of the manager`s preferences
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 Program...
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عنوان ژورنال:
journal of industrial engineering, internationalISSN 1735-5702
دوره 3
شماره 5 2007
میزبانی شده توسط پلتفرم ابری doprax.com
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