Financial portfolio management through the goal programming model: Current state-of-the-art

European Journal of Operational Research

Volumn 234, Issue 2, 2014, Pages 536-545

  Aouni, Belaid ^a   Colapinto, Cinzia ^b   La Torre, Davide ^c,d  

^a QATAR UNIVERSITY   (Qatar)

^b CA' FOSCARI UNIVERSITY OF VENICE   (Italy)

^c UNIVERSITY OF MILAN   (Italy)

^d KHALIFA UNIVERSITY   (United Arab Emirates)

Author keywords

Goal programming; Multi attribute portfolio management; Typology

Indexed keywords

DEVELOPED MODEL; FINANCIAL PORTFOLIO; GOAL PROGRAMMING; GOAL PROGRAMMING MODEL; PORTFOLIO MANAGEMENTS; PORTFOLIO MANAGERS; PORTFOLIO SELECTION PROBLEMS; TYPOLOGY;

INVESTMENTS;

FINANCIAL DATA PROCESSING;

EID: 84890860098     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2013.09.040     Document Type: Article

References (127)

1. G. Alexander, and B. Resnick Using linear and goal programming to immunize bond portfolios Journal of Banking and Finance 9 1985 35 54
2. J. Allen, S. Bhattacharya, and F. Smarandache Fuzziness and funds allocation in portfolio optimisation International Journal of Social Economics 30 5 2003 619 632
3. M. Amiri, M. Ekhtiari, and M. Yazdani Nadir compromise programming: A model for optimization of multi-objective portfolio problem Expert Systems with Applications 38 2011 7222 7226
4. B. Aouni Multi-attribute portfolio selection: New perspectives Information Systems and Operational Research 47 1 2009 1 4
5. B. Aouni Portfolio selection through the goal programming model: An overview Journal of Financial Decision Making 6 2 2010 3 15
6. B. Aouni, F. Ben Abdelaziz, and R. El Fayedh La programmation par but stochastique: Application au problème de sélection de portefeuille (Stochastic programming: An application to the portfolio selection) Administrative Sciences Association of Canada, Management Science 24 2 2003 63 75
7. A. Aouni, F. Ben Abdelaziz, and D. La Torre The stochastic goal programming model: Theory and applications Journal of Multicriteria Decision Analysis 19 5-6 2012 185 200
8. B. Aouni, F. Ben Abdelaziz, and J.M. Martel Decision-maker's preferences modeling in the stochastic goal programming European Journal of Operational Research 162 2005 610 618
9. A. Aouni, C. Colapinto, and D. La Torre Solving stochastic multi-objective programming in multi-attribute portfolio selection through the goal programming model Journal of Financial Decision Making 6 2 2010 17 30
10. A. Aouni, C. Colapinto, and D. La Torre A cardinality constrained stochastic goal programming model with satisfaction function for venture capital investment decision making Annals of Operations Research 205 1 2013 77 88
11. A. Aouni, and D. La Torre A generalized stochastic goal programming model Applied Mathematics and Computation 215 2010 4347 4357
12. F.D. Arditti, and H. Levy Portfolio efficiency analysis in three moments: The multi period case Journal of Finance 30 1975 797 809
13. M. Arenas-Parra, A. Bilbao-Terol, and M.V. Rodriguez Uria A fuzzy goal programming approach to portfolio selection European Journal of Operational Research 133 2001 287 297
14. M. Arenas-Parra, A. Bilbao-Terol, M.V. Rodriguez Uria, and B. Pérez Gladish Fuzzy compromise programming for portfolio selection Applied Mathematics and Computation 173 2006 251 264
15. R. Azmi, and M. Tamiz A review of goal programming for portfolio selection D. Jones, M. Tamiz, J. Ries, New developments in multiple objective and goal programming Lecture notes in economics and mathematical systems 2010 Springer 15 34 Vol. 638
16. S. Bahloul, and F. Abid A combined analytic hierarchy process and goal programming approach to international portfolio selection in the presence of investment barriers International Journal of Multi-Criteria Decision Making 3 1 2013 1 20
17. E. Ballestero Approximating the optimum portfolio for an investor with particular preferences Journal of Operational Research Society 49 1998 998 1000
18. Ballestero, E., & Garcia-Bernabeu, A. (2012). Portfolio selection with multiple time horizons: A mean variance - stochastic goal programming approach, preprint.
19. E. Ballestero, M. Günther, D. Pla-Santamaria, and C. Stummer Portfolio selection under strict uncertainty: A multi-criteria methodology and its application to the Frankfurt and Vienna stock exchange European Journal of Operational Research 181 3 2007 1476 1487
20. E. Ballestero, B. Pérez Gladish, M. Arenas-Parra, and A. Bilbao-Terol Selecting portfolios given multiple Eurostoxx-based uncertainty scenarios: A stochastic goal programming approach from fuzzy betas Information Systems and Operational Research 47 1 2009 59 70
21. E. Ballestero, and D. Pla-Santamaria Portfolio selection on the Madrid exchange: A compromise programming model International Transactions in Operational Research 10 2003 33 51
22. E. Ballestero, and D. Pla-Santamaria Selecting portfolios for mutual funds Omega 32 2004 385 394
23. E. Ballestero, and C. Romero Portfolio selection, A compromise programming solution Journal of the Operational Research Society 47 1996 1377 1386
24. R.G. Batson Financial planning using goal programming Long Range Planning 22 5 1989 112 120
25. R.E. Bellman, and L.A. Zadeh Decision-making in a fuzzy environment Management Science 17 1970 B141 B164
26. F. Ben Abdelaziz, B. Aouni, and R. El Fayedh Multi-objective stochastic programming for portfolio selection European Journal of Operational Research 177 2007 1811 1823
27. F. Ben Abdelaziz, R. El Fayedh, and A. Rao A discrete stochastic goal program for portfolio selection: The case of United Arab Emirates equity market Information Systems and Operational Research 47 2009 5 13
28. A. Bilbao-Terol, M. Arenas-Parra, M. Jiménez, B. Pérez Gladish, and M.V. Rodrìguez Urìa An extension of Sharpe's single-index model: Portfolio selection with expert betas Journal of the Operational Research Society 57 2006 1442 1451
29. A. Bilbao-Terol, M. Arenas-Parra, M.V. RodrIguez, and J. Antomil On constructing expert betas for single-index model European Journal of Operational Research 183 2 2007 827 847
30. A. Bilbao-Terol, B. Pérez Gladish, and J. Antomil-Ibias Selecting the optimum portfolio using fuzzy compromise programming and Sharpe's single-index model Applied Mathematics and Computation 182 1 2006 644 664
31. A. Bilbao-Terol, B. Pérez Gladish, M. Arenas-Parra, and M.V. Rodrìguez Urìa Fuzzy compromise programming for portfolio selection Applied Mathematics and Computation 173 1 2006 251 264
32. C.G. Booth, and W. Bessler Goal Programming models for managing interest rate risk Omega 17 1989 81 89
33. G. Booth, and G. Dash Bank portfolio management using non-linear goal programming Financial Review 14 1977 59 69
34. G. Booth, and G. Dash Alternate programming structures for bank portfolios Journal of Banking & Finance 3 1 1979 67 82
35. I. Boswarva, and B. Aouni Different probability distributions for portfolio selection in the chance constrained compromise programming model INFOR 50 2012 140 146
36. M. Bravo, D. Pla Santamaria, and A. Garcia-Bernabeu Portfolio selection from multiple benchmarks: A goal programming approach to an actual case Journal of Multicriteria Decision Analysis 17 2010 155 166
37. J. Callahan An Introduction to financial planning through goal programming Cost and Management 1973 7 12
38. M.Á. Canela, and E.P. Collazo Portfolio selection with skewness in emerging market industries Emerging Markets Review 8 2007 230 250
39. A. Charnes, and W.W. Cooper Management models and industrial applications of linear programming 1961 John Wiley and Sons Inc. New York
40. A. Charnes, W.W. Cooper, and R.O. Ferguson Optimal estimation of executive compensation by linear programming Management Science 2 1955 138 151
41. L.H. Chen, and F.C. Tsai Fuzzy goal programming with different importance and priorities European Journal of Operational Research 133 2001 548 556
42. P. Chunhachinda, K. Dandapani, S. Hamid, and A.J. Prakash Portfolio selection and skewness: Evidence from international stock markets Journal of Banking and Finance 21 1997 143 167
43. G. Colson, and Ch. De Bruyn An integrated multi-objective portfolio management system Mathematical and Computer Modeling 12 10 1989 1359 1381
44. W.W. Cooper, V. Lelas, and T. Sueyoshi Goal programming models and their duality relations for use in evaluating security portfolio and regression relations European Journal of Operational Research 98 1997 431 443
45. G. Dash, and N. Kajiji A nonlinear goal programming model for efficient asset-liability management of property-liability insurers INFOR 43 2 2005 135 156
46. R.J. Davies, H.M. Kat, and S. Lu Fund of hedge funds portfolio selection: A multiple-objective approach Journal of Derivatives and Hedge Funds 15 2 2009 91 115
47. X.-T. Deng, Z.-F. Li, and S.-Y. Wang A minimax portfolio selection strategy with equilibrium European Journal of Operational Research 166 2005 278 292
48. A.K. Dhingra, S.S. Rao, and V. Kumar Nonlinear membership functions in multiobjective fuzzy optimization of mechanical and structural systems AIAA Journal 30 1992 251 260
49. C. Dominiak An application of interactive multiple goal programming on the Warsaw Stock Exchange R. Caballero, F. Ruiz, R.E. Steuer, Advances in multiple objective and goal programming 1997 Springer Verlag Berlin 66 74
50. E.J. Elton, and M.J. Gruber Modern portfolio theory and investment analysis 3rd ed. 1987 Wiley New York
51. A.P. Ferretti Investment company portfolio management 1970 Irwin Inc. pp. 173-182
52. A.N.S. Freeling Fuzzy sets and decision analysis IEEE Transactions on Systems 10 1980 341 354
53. M. Gupta, and D. Bhattacharjee Min sum weighted fuzzy goal programming model in investment management planning: A case study International Research Journal of Finance and Economics 56 2010 76 81
54. Hallerbach, W.G. & Spronk, J. (1986). An interactive multi-factor portfolio model, report 8610/F. Centre for research in Business Economics, Erasmus University, Rotterdam.
55. E.L. Hannan On fuzzy goal programming. Decision Sciences 12 1981 522 531
56. E.L. Hannan Some further comments on fuzzy priorities Decision Sciences 12 1981 539 541
57. T. Harrington, and W. Fisher Portfolio modeling in multiple criteria situations under uncertainty: Comment 1980 Decision Sciences Winter pp. 171-177
58. J.P. Ignizio Notes and communications of the (re)discovery of fuzzy goal programming Decision Sciences 13 1982 331 336
59. M. Inuiguchi, and J. Ramik Possibilistic linear programming: a brief review of fuzzy mathematical programming and a comparison with stochastic programming in portfolio selection problem Fuzzy Sets and Systems 111 1 2000 3 28
60. X. Ji, S. Zhu, S. Wang, and S. Zhang A stochastic linear goal programming approach to multistage portfolio management based on scenario generation via linear programming IIE Transactions 37 2005 957 969
61. N. Jobst, M. Horniman, C. Lucas, and G. Mitra Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints Quantitative Finance 1 5 2001 1 13
62. H. Konno, and H. Yamazaki Mean-absolute deviation portfolio optimization and its applications to Tokyo stock market Management Science 37 5 1991 19 31
63. K. Kosmidou, and C. Zopounidis Combining goal programming model with simulation analysis for bank asset liability management INFOR 42 3 2004 175 187
64. P.C. Kumar, and G.C. Philippatos Conflict resolution in investment decisions: Implementation of goal programming methodology for dual-purpose funds Decision Sciences 1979 562 576
65. P.C. Kumar, G.C. Philippatos, and J.R. Ezell Goal programming and the selection of portfolios by dual purpose funds The Journal of Finance 33 1 1978 303 310
66. A.H. Kvanli Financial planning using goal programming Omega 8 2 1980 207 218
67. T.Y. Lai Portfolio selection with skewness: A multi-objective approach Review of Quantitative Finance and Accounting 1 3 1991 293 305
68. Lai, K. K., Yu, L. & Wang, S. Y. (2006). Mean-variance-skewness- kurtosis-based portfolio optimization. In Proceedings of the first international multi-symposiums on computer and computational sciences (Vol. 2), pp. 292-297.
69. S.M. Lee Goal programming for decision analysis 1972 Auerbach Philadelphia
70. Lee, S. M. & Chesser, D. L. (1980). Goal programming for portfolio selection. The Journal of Portfolio Management, 22-26 (Spring).
71. S.M. Lee, and A.J. Lerro Optimizing the portfolio selection for mutual funds Journal of Finance 28 5 1973 1087 1101
72. S.M. Lee, and W.R. Sevebeck An aggregative model for municipal economic planning Policy Sciences 2 2 1971 99 115
73. M.T. Leung, H. Daouk, and A. Chen Using investment portfolio return to combine forecasts: A multiobjective approach European Journal of Operational Research 134 2001 84 102
74. R.R. Levary, and M.L. Avery On practical application of weighting equities in a portfolio via goal programming Operation Research 21 1984 246 261
75. H. Levy, and M. Sarnat Investment performance in an imperfect securities market and the case for mutual funds Financial Analysts Journal 1972 77 81
76. J. Li, and J. Xu A class of possibilistic portfolio selection model with interval coefficients and its application Journal Fuzzy Optimization and Decision Making archive 6 2 2007 123 137
77. T.W. Lin, and D.E. O'Leary Goal programming application in financial management K.D. Lawrence, J.B. Guerard, G.R. Reeves, Advances in mathematical programming and financial planning 1993 JAI Press Inc. 211 229 vol. 3
78. Lucey, B., Tully, E. & Poti, V. (2004), International portfolio formation, skewness & the role of gold. IIIS Discussion Paper N. 30.
79. M. Maggis, and D. La Torre A goal programming model for optimal portfolio diversification Information Systems and Operations Research 50 3 2012 117 126
80. N. Mansour, A. Rebaï, and B. Aouni Portfolio selection through the imprecise goal programming model: Integration of manager's preferences Journal of Industrial Engineering International 3 5 2007 1 8
81. H.M. Markowitz Portfolio selection The Journal of Finance 7 1952 77 91
82. H.M. Markowitz Portfolio selection: Efficient diversification of investments 1959 Wiley New York
83. J.M. Martel, and B. Aouni Incorporating the decision maker's preferences in the goal programming model Journal of Operational Research Society 41 1990 1121 1132
84. A. Muhlemann, and A. Lockett Portfolio modeling in multiple criteria situations under uncertainty: Rejoinder Decision Sciences 1980 178 180 Winter
85. A.P. Muhlemann, A.G. Lockett, and A.E. Gear Portfolio modelling in multiple-criteria situations under uncertainty Decision Sciences 9 1978 612 626
86. R. Narasimhan Goal programming in a fuzzy environment Decision Sciences 11 1980 325 336
87. J.H. O'Leary, and D.E. O'Leary A multiple goal approach to the choice of pension fund management K.D. Lawrence, J.B. Guerard, G.R. Reeves, Advances in mathematical programming and financial planning Vol. 1 1987 JAI Press Greenwich, CT 187 195
88. K. Pendaraki, M. Doumpos, and C. Zopounidis Towards a goal programming methodology for constructing equity mutual fund portfolios Journal of Asset Management 4 6 2004 415 428
89. K. Pendaraki, C. Zopounidis, and M. Doumpos On the construction of mutual fund portfolios: A multicriteria methodology and an application to the Greek market of equity mutual fund European Journal of Operational Research 163 2 2005 462 481
90. B. Pérez Gladish, D. Jones, M. Tamiz, and B. Terol An interactive three-stage model for mutual funds portfolio selection International Journal of Management Science, Omega 35 2007 75 88
91. J.G. Powell, and I.M. Premachandra Accomodating diverse institutional investment objectives and constraints using non-linear goal programming European Journal of Operational Research 105 1998 173 187
92. A.J. Prakash, C. Chang, and T.E. Pactwa Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets Journal of Banking and Finance 27 2003 1375 1390
93. S.S. Rao Multi-Objective optimization of fuzzy structural systems International Journal for Numerical Methods in Engineering 24 1987 1157 1171
94. C. Romero Handbook of critical issues in goal programming 1991 Pergamon Press Oxford
95. A. Rostamy, A. Azar, and S. Hosseini A mixed integer goal programming (MIGP) model for multi-period complex corporate financing problems Finance India 17 2 2003 495 509
96. R. Sharda, and T. Musser Financial futures hedging via goal programming Management Science 63 1986 933 947
97. H. Sharma, D. Ghosh, and D. Sharma Credit union portfolio management: An application of goal interval programming Academy of Banking Studies 6 1 2007 39 60
98. H. Sharma, and D. Sharma A multi-objective decision-making approach for mutual fund portfolio Journal of Business and Economics Research 4 6 2006 13 23
99. J.K. Sharma, D.K. Sharma, and J.O. Adeyeye Optimal portfolio selection: A goal programming approach Indian Journal of Finance and Research 7 2 1995 67 76
100. H. Sharma, D. Sharma, and R.K. Jana Credit union portfolio management - An additive fuzzy goal programming approach International Research Journal of Finance and Economics 30 2009 19 28
101. W.F. Sharpe A linear programming algorithm for mutual funds portfolio selection Management Science 13 3 1967 499 510
102. J. Spronk Interactive multiple goal programming for capital budgeting and financial planning 1980 Delftse Uitgevers Maatschappij Delft
103. J. Spronk Interactive multiple goal programming: Applications to financial planning 1981 Martinus Nijhoff Boston
104. Spronk, J. & Wijst, V. D. (1987). A multi-factor framework for firm evaluation. pp. 317-330 (http://repub.eur.nl/res/pub/6015/18120.pdf).
105. R.E. Steuer, and P. Na Multiple criteria decision making combined with finance: A categorized bibliographic study European Journal of Operational Research 150 2003 496 515
106. B.K. Stone, and R. Reback Constructing a model for managing portfolio revisions Journal of Bank Research 1975 48 60 Spring
107. S.J. Stoyan, and R.H. Kwon A stochastic-goal mixed-integer programming approach for integrated stock and bond portfolio optimization Journal Computers and Industrial Engineering 61 4 2011 1285 1295
108. Q. Sun, and Y. Yan Skewness persistence with optimal portfolio selection Journal of Banking and Finance 27 2003 1111 1121
109. M. Tamiz, R. Hasham, K. Fargher, and D. Jones A comparison between goal programming and regression analysis for portfolio selection Lecture notes in Economics and Mathematical Systems 1997 Springer Vol. 448, pp. 421-432
110. M. Tamiz, R. Hasham, D.F. Jones, B. Hesni, and E.K. Fargher A two staged goal programming model for portfolio selection M. Tamiz, Lecture Notes in Economics and Mathematical Systems 1996 Springer Berlin 286 299 432
111. M. Tamiz, and D. Jones Goal programming: recent developments in theory and practice International Journal of Management and Systems 14 1998 1 16
112. G.K. Tayi, and P.A. Leonard Bank balance-sheet management: An alternative multi-objective model The Journal of the Operational Research Society 39 4 1988 401 410
113. A. Tektas, E. Ozkan-Gunay, and G. Gunay Asset and liability management in financial crisis Journal of Risk Finance 6 2 2005 135 149
114. S. Wang, and S. Zhu On fuzzy portfolio selection problems Fuzzy Optimization and Decision Making 1 4 2002 361 377
115. J. Watada Fuzzy portfolio selection and its application to decision making Tatra Mountains Mathematical Publications 13 1997 219 248
116. Q. Xu, C. Jiang, and P. King Dynamic portfolio selection with higher moments risk based on polynomial goal programming Proceedings of the International Conference on Management Science & Engineering 2007 2152 2157
117. L.A. Zadeh Fuzzy sets Information and Control 8 1965 338 353
118. V. Zaloom, A. Tolga, and H. Chu Bank funds management by goal programming Computers & Industrial Engineering 11 1-4 1986 132 135
119. H.-J. Zimmerman Description and optimization of fuzzy systems International Journal of General Systems 2 1976 209 215
120. H.-J. Zimmerman Fuzzy programming and linear programming with several objectives functions Fuzzy Sets and Systems 1 1978 45 55
121. H.-J. Zimmerman Using fuzzy sets in operations research Fuzzy Sets and Systems 13 1983 201 216
122. H.-J. Zimmerman Modelling flexibility, vagueness and uncertainty in operations research Investigación Operativa 1 1988 7 34
123. H.-J. Zimmerman Decision making in ill-structured environments and with multiple criteria C.A. Bana e Costa, Readings in multiple criteria decision aid 1990 Springer-Verlag Heidelberg 119 151
124. C. Zopounidis, and M. Doumpos Multi-criteria decision aid in financial decision making: Methodologies and literature review Journal of Multicriteria Decision Analysis 11 4-5 2002 167 186
125. C. Zopounidis, and M. Doumpos Multicriteria decision systems for financial problems Top 21 2013 241 261
126. C. Zopounidis, M. Doumpos, and K. Pendaraki On the construction of mutual fund portfolios: A multicriteria methodology and an application to the Greek market of equity mutual funds European Journal of Operational Research 163 2005 462 481
127. C. Zopounidis, M. Doumpos, and S. Zanakis Stock evaluation using a preference disaggregation methodology Decision Sciences 30 1999 313 336