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Portfolio selection through imprecise Goal Programming model: Integration of the manager's preferences
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نویسنده
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Mansour Nabil ,Rebai Abdelwaheb ,Aouni Belaid
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منبع
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journal of industrial engineering international - 2007 - دوره : 3 - شماره : 5 - صفحه:1 -8
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چکیده
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In the portfolio selection problem, the manager considers several objectives simultaneously such as the rate of return, the liquidity and the risk of portfolios. these objectives are conflicting and incommensurable.moreover, the objectives can be imprecise. generally, the portfolio manager seeks the best combination of the stocks that meets his investment objectives. the imprecise goal programming model will be utilized to build the most satisfactory portfolio. the concept of satisfaction functions will be utilized to integrate explicitly thepreferences of the portfolio's manager. the developed model has been applied to portfolio selection within the tunisian stock exchange market.
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کلیدواژه
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Portfolio selection; Imprecise goal programming; Satisfaction function; Manager's preferences
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آدرس
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Faculte des Sciences Economiques et de Gestion de Mahdia, Tunisia, Institut Superieur d'Administration des Affaires de Sfax, Tunisia, Faculty ofManagement,, School of Commerce and Administration, Decision Aid Research Group, Canada
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پست الکترونیکی
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baouni@laurentian.ca
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Authors
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