A Goal Programming Model for Optimal Portfolio Diversification

Details A Goal Programming Model for Optimal Portfolio Diversification A Goal Programming Model for Optimal Portfolio Diversification

2012-01-09

arxiv.org/abs/1201.1783v1

Economy

Quantitative Finance

Portfolio Management

Scientific paper

We present a goal programming model for risk minimization of a financial portfolio managed by an agent subject to different possible criteria. We extend the classical risk minimization model with scalar risk measures to general case of set-valued risk measure. The problem we obtain is a set-valued optimization program and we propose a goal programming-based approach to obtain a solution which represents the best compromise between goals and the achievement levels. Numerical examples are provided to illustrate how the method works in practical situations.

Affiliated with

Also associated with

No associations

Rating

A Goal Programming Model for Optimal Portfolio Diversification does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with A Goal Programming Model for Optimal Portfolio Diversification, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and A Goal Programming Model for Optimal Portfolio Diversification will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-643417