Goal programming for financial portfolio management: a state-of-the-art review

Cinzia Colapinto, Davide la Torre, Belaid Aouni

Research output: Contribution to journalArticle

Abstract

Over the last decades, the Goal Programming (GP) model has been applied to financial portfolio management and/or selection problem in decision-making contexts where several conflicting and incommensurable objectives are simultaneously aggregated. The aim of this paper is to identify the research trends and publication outlets for the application of GP model to portfolio management. We point out an increasing interest and affirmation of more sophisticated models. We present a characterization of the existing GP variants and provide historical data and statistical analysis.

Original languageEnglish
Pages (from-to)1-20
Number of pages20
JournalOperational Research
Volume19
Issue number3
DOIs
Publication statusAccepted/In press - Jul 21 2017

Keywords

  • Financial portfolio selection
  • Goal programming
  • Typology

ASJC Scopus subject areas

  • Numerical Analysis
  • Modelling and Simulation
  • Statistics, Probability and Uncertainty
  • Strategy and Management
  • Management Science and Operations Research
  • Computational Theory and Mathematics
  • Management of Technology and Innovation

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