Research

Goal programming for portfolio selection

This paper presents a goal programming model that is capable of helping the investor to select efficient portfolio that satisfies his spectrum of investment desires. Goal programming is a powerful tool that draws upon the highly developed and tested technique of linear programming. GP has the added dimension of providing simultaneous solution to a complex system of competing objectives. This paper is divided into our major sections. Considerations in selecting efficient portfolios are discussed in the first. Next an overview of goal programming and its basic methodology is discussed. Formulation of a GP model applicable to the portfolio selection problem is presented in the third section. Finally, conclusions are offered.

Publication Information
Article Title: Goal programming for portfolio selection
Journal: Journal of Portfolio Management (1980)
Vol. 6, No. 3
Author(s): Lee, Sang M;  Chesser, D.
Researcher Information
    
Lee, Sang M
Lee, Sang M
Emeritus
Expertise:
  • Entrepreneurship
  • Information Systems
  • International - Europe
  • International - South and Central America
  • International - Asia
Management
HLH 315H
P.O. Box 880491
University of Nebraska-Lincoln
Lincoln, NE 68588-0491, USA
Phone: (402) 472-3915
slee1@unl.edu