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Financial portfolio management through the goal programming model: Current state-of-the-art |
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| Authors: | Belaid Aouni Cinzia Colapinto Davide La Torre |
| Institution: | 1. Management and Marketing Department, College of Business and Economics, Qatar University, P.O. Box 2713, Doha, Qatar;2. Department of Management, Ca’ Foscari University of Venice, Venice 30121, Italy;3. Department of Economics, Management and Quantitative Methods, University of Milan, Milan 20122, Italy;4. Department of Applied Mathematics and Sciences, Khalifa University, Abu Dhabi, United Arab Emirates |
| Abstract: | Since Markowitz (1952) formulated the portfolio selection problem, many researchers have developed models aggregating simultaneously several conflicting attributes such as: the return on investment, risk and liquidity. The portfolio manager generally seeks the best combination of stocks/assets that meets his/her investment objectives. The Goal Programming (GP) model is widely applied to finance and portfolio management. The aim of this paper is to present the different variants of the GP model that have been applied to the financial portfolio selection problem from the 1970s to nowadays. |
| Keywords: | Multi-attribute portfolio management Goal programming Typology |
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