A Recourse Goal Programming Approach for the Portfolio Selection Problem

Masmoudi, Meryem; Abdelaziz, Fouad Ben

doi:10.3138/infor.50.3.134

Cited by 7 publications

(3 citation statements)

References 11 publications

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“…Ben Abdelaziz () presented an overview of solution approaches for multi‐objective stochastic programming problems, where he classified these approaches into two different groups: stochastic transformations and multi‐objective transformations. The stochastic transformation eliminates the randomness of the problem with a chance‐constrained approach (Ben Abdelaziz and Masri, ) or a recourse approach (Masmoudi and Ben Abdelaziz, ). A multi‐objective transformation deals with the multi‐objective aspect of the problem by transforming several objectives into a single one using, for example, a goal‐programming approach (Park and Koelling, ; Ghoseiri and Ghannadopour, ; Calavete et al ., ; Ben Abdelaziz et al ., ) or a weighted‐sum approach (Gass and Saaty, ).…”

Section: The Certainty Equivalentmentioning

confidence: 99%

A Recourse Stochastic Goal Programming Approach for the Multi-objective Stochastic Vehicle Routing Problem

Masri

Abdelaziz

Alaya

2016

J. Multi-Crit. Decis. Anal.

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This paper addresses a multi-objective stochastic vehicle routing problem where several conflicting objectives such as the travel time, the number of vehicles in use and the probability of an accident are simultaneously minimized. We suppose that demands and travel durations are of a stochastic nature. In order to build a certainty equivalent program to the multi-objective stochastic vehicle routing problem, we propose a solution strategy based on a recourse approach, a chance-constrained approach and a goal-programming approach. The resulting certainty equivalent program is solved to optimality using CPLEX.

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Section: The Certainty Equivalentmentioning

confidence: 99%

A Recourse Stochastic Goal Programming Approach for the Multi-objective Stochastic Vehicle Routing Problem

Masri

Abdelaziz

Alaya

2016

J. Multi-Crit. Decis. Anal.

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“…al. [15] proposed the extended factors of stocks and applied goal programming for portfolio selection. They applied three alternatives of goal programming namely weighted, lexicographic and minimax approach.…”

Section: Introductionmentioning

confidence: 99%

Portfolio Selection and Post Optimality Test Using Goal Programming

Panwar¹,

Jha²,

Srivastava³

2018

IJET

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In a practical portfolio planning process the investment decision to be taken by an investor is not simple and is influenced by several other constraints like stock price, co-moment with market, return with respect to risk, past performance and so many. In this purview, a hybrid approach is employed for portfolio selection which combines multiple methodologies like investor topology, cluster analysis, analyti cal hierarchy process (AHP) for ranking the assets and biogeographic-based optimization (BBO). Furthermore, with the help of goal programming (GP), performing post optimality test for betterment the result which is obtained by BBO. In the goal programming, objective is to be minimizing the weighted deviations of desire goals. Weighted deviation is known as achievement, which has two branches namely over achievement and under achievement.

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“…The authors assumed that the securities return are random and are normally distributed. Masmoudi and Abdelaziz (2012) proposed the recourse goal programming approach, which is a mix of the goal programming approach and the recourse approach to solve the portfolio problem when multiple stochastic objectives are involved. They assumed that, investors have a minimum acceptable expected rate of return of their portfolio that if they do not achieve the minimum acceptable return then, they have to pay penalty.…”

Section: Research Problem and Literature Reviewmentioning

confidence: 99%

Ethical Stochastic Objectives Programming Approach for Portfolio Selection

Bagheri

Abdelaziz

Rao

2017

Int. conf. adv. bus. manag. law

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The paper develops an ethical multiple stochastic objectives approach to address the ethical portfolio selection problem in the stochastic environment under the Shari'ah compliant framework. Two random objectives considered in this paper which are maximizing portfolio return and maximizing social welfare of portfolio. The risk of portfolio is measured by covariance matrix of total return. The ethical stochastic objectives program approach is based on goal programming approach, a chance constrained approach and Shari'ah compliant framework. The model is applied on 60 stocks including conventional and Islamic securities in GCC. The results show that, portfolios with higher proportion of ethical Islamic securities in the portfolio and with higher expected loss the higher is the portfolio performance in terms of Sharpe measure.

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A Recourse Goal Programming Approach for the Portfolio Selection Problem

Cited by 7 publications

References 11 publications

A Recourse Stochastic Goal Programming Approach for the Multi-objective Stochastic Vehicle Routing Problem

A Recourse Stochastic Goal Programming Approach for the Multi-objective Stochastic Vehicle Routing Problem

Portfolio Selection and Post Optimality Test Using Goal Programming

Ethical Stochastic Objectives Programming Approach for Portfolio Selection

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