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

Cinzia Colapinto; Davide la Torre; Belaid Aouni

doi:10.1007/s12351-017-0337-2

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

Cinzia Colapinto, Davide la Torre, Belaid Aouni

Research output: Contribution to journal › Article › peer-review

7 Citations (Scopus)

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 language	English
Pages (from-to)	1-20
Number of pages	20
Journal	Operational Research
Volume	19
Issue number	3
DOIs	https://doi.org/10.1007/s12351-017-0337-2
Publication status	Accepted/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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10.1007/s12351-017-0337-2

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

Abstract

Keywords

ASJC Scopus subject areas

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