Towards a goal programming methodology for constructing equity mutual fund portfolios

Pendaraki, Konstantina; Doumpos, Michael; Zopounidis, Constantin

doi:10.1057/palgrave.jam.2240120

Cited by 18 publications

(9 citation statements)

References 7 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Among them, the most widely used is Goal Programming (Abdelaziz et al 2007;Ballestero et al 2012;Bilbao-Terol et al 2013;Davies et al 2009;Inuiguchi and Ramık 2000;Pendaraki et al 2004;Prakash et al 2003;Sharma et al 2006;Tamiz et al 2013) are some recent examples. From year 2000 a wide range of literature on MCDM approaches to portfolio choice and related issues is available.…”

Section: Mcdm and Portfolio Selectionmentioning

confidence: 99%

The Ethical Financial Question and the MCDM Framework

Ballestero

Pérez-Gladish

Garcı́a-Bernabeu

2014

International Series in Operations Research &Amp; Management Science

View full text Add to dashboard Cite

This chapter explains the financial meaning and importance of Socially Responsible Investment (SRI), also called ethical investment. Currently, SRI is a private initiative to invest increasing flows of financial resources in environmentally and socially sustainable activities and to invest nothing in anti-ethical projects. Main SRI agents are banks and institutional investors who are engaged in policies such as sustainable consumption of energy and natural resources, ecosystem protection, advanced medical projects, technological research, education of young entrepreneurs, anti-tobacco campaigns, safety and healthcare in the workplace, and others. These agents think that traditional financial criteria such as profitability and risk should be combined with SRI criteria to select stock portfolios. In SRI, Multiple Criteria Decision Making (MCDM) approaches seem to be helpful as several criteria, not only financial but also environmental, social or governance concerns are taken into account. Regarding MCDM, a brief overview is included in this chapter to introduce this methodology into SRI decision problems.

show abstract

Section: Mcdm and Portfolio Selectionmentioning

confidence: 99%

The Ethical Financial Question and the MCDM Framework

Ballestero

Pérez-Gladish

Garcı́a-Bernabeu

2014

International Series in Operations Research &Amp; Management Science

View full text Add to dashboard Cite

show abstract

“…GP and its variants have been applied to a wide range of problems (Ijiri, 1965;Ignizio, 1976;Lee, 1972;Romero 1991). Literature is replete with studies using LGP or linear GP for investment decision-making problems (Lee, 1972;Lee and Lerro, 1973;Kumar et al, 1978;Lee and Chesser, 1980;Levary and Avery, 1984;Schniederjans et al, 1992;Sharma et al, 1995;Cooper et al, 1997;Dominiak, 1997;Leung et al, 2001;Pendaraki et al, 2004). Lee and Lerro (1973) developed a LGP portfolio selection model for mutual funds.…”

Section: Review Of Literaturementioning

confidence: 99%

“…Over the years, LGP has been widely used to solve problems in investment decision-making (Pendaraki et al, 2004). However, there are a few studies that have applied LGP to construct a portfolio from broad categories of mutual funds.…”

mentioning

confidence: 99%

A Multi-Objective Decision-Making Approach For Mutual Fund Portfolio

Sharma¹,

Sharma²

2011

JBER

View full text Add to dashboard Cite

Investment decision-making problems are generally multi-objective in nature such as minimization of the risk and maximization of the expected return.  These problems can be solved efficiently and effectively using multi-objective decision making (MODM) tools such as a lexicographic goal programming (LGP).  This paper applies the LGP model for selecting an optimum mutual fund portfolio for an investor, while taking into account specific parameters including risk, return, expense ratio and others.  Sensitivity analysis on the assigned weights in a priority structure of the goals identifies all possible solutions for decision-making.  The Euclidean distance method is then used, to measure distances of all possible solutions from the identified ideal solution.  The optimal solution is determined by the minimum distance between the ideal solution and other possible solutions of the problem. The associated weights with the optimal solution will be the most appropriate weights in a given priority structure.  The effectiveness and applicability of the LGP model is demonstrated via a case example from broad categories of mutual funds.

show abstract

“…Multiple criteria approaches to portfolio selection and related approaches (from year 2000) are as follows: (i) portfolio choice with fuzzy information (Arenas et al , ; Pérez‐Gladish et al , ); (ii) approximating the optimum portfolio on the mean–variance efficient frontier by linkages between utility theory and compromise programming (Ballestero and Pla‐Santamaria, , , ); (iii) extending the classical (risk–return) approach to other different criteria (Steuer et al , ); (iv) novel approaches from multi‐objective programming (Steuer et al , ); (v) constructing equity mutual funds portfolios by goal programming (Pendaraki et al , ); (vi) mean–semivariance efficient frontier (Ballestero, ); (vii) hybrid models, neural networks and algorithms (Huang et al , ; Ong et al , ; Lin et al , ); (viii) satisfaction functions are proposed to integrate the decision maker's preferences into GP models under uncertainty (Aouni et al , ); (ix) fuzzy techniques are useful when probability distributions are unknown (Ben Abdelaziz and Masri, ); and (x) portfolio selection based on Sharpe's beta is developed with and without fuzzy techniques in the studies by Bilbao et al () and Ballestero et al ().…”

Section: Literaturementioning

confidence: 99%

“…About this issue, see Section 3. References to mean valuestochastic goal programming are, among others, those of Weihua et al (2001), Tozer and Stokes (2002), Bordley and Kirkwood (2004), Sahoo and Biswal (2005) multi-objective programming (Steuer et al, 2005); (v) constructing equity mutual funds portfolios by goal programming (Pendaraki et al, 2004); (vi) meansemivariance efficient frontier (Ballestero, 2005b); (vii) hybrid models, neural networks and algorithms Ong et al, 2005;Lin et al, 2006); (viii) satisfaction functions are proposed to integrate the decision maker's preferences into GP models under uncertainty (Aouni et al, 2005); (ix) fuzzy techniques are useful when probability distributions are unknown (Ben Abdelaziz and Masri, 2005); and (x) portfolio selection based on Sharpe's beta is developed with and without fuzzy techniques in the studies by Bilbao et al (2006) and Ballestero et al (2009).…”

Section: References To Pave the Way For Our Proposalmentioning

confidence: 99%

Portfolio Selection from Multiple Benchmarks: A Goal Programming Approach to an Actual Case

Bravo

Pla‐Santamaria

2010

Multi Criteria Decision Anal

View full text Add to dashboard Cite

This paper deals with benchmark-based portfolio choice for buy-and-hold strategies of investing. Multiple benchmarks for returns are considered, which is more realistic than taking a unique benchmark -a unique aspiration difficult to select in practice among the various aspirations for returns that the investor has in mind. Portfolio selection with multiple benchmarks leads to a multi-objective problem, which is addressed by mean value -stochastic goal programming. In particular, two benchmarks are considered, which involves two goals. Weights for goals depend on investor's preferences and Arrow's absolute risk aversion coefficients. An efficient frontier of portfolios is obtained. Advantages of this stochastic method in our context are as follows: (i) Mean value-stochastic goal programming relies on classical utility theory under uncertainty and Arrow's absolute risk aversion, which ensures soundness and strictness, and (ii) the numerical model is easily solved by using available software such as mean-variance software. Numerical results are tabulated and discussed.

show abstract

Towards a goal programming methodology for constructing equity mutual fund portfolios

Cited by 18 publications

References 7 publications

The Ethical Financial Question and the MCDM Framework

The Ethical Financial Question and the MCDM Framework

A Multi-Objective Decision-Making Approach For Mutual Fund Portfolio

Portfolio Selection from Multiple Benchmarks: A Goal Programming Approach to an Actual Case

Contact Info

Product

Resources

About