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Lexicographic Goal Programming Approach For Portfolio Optimization, Mehdi Jafarian, Azizolah Jafari
Lexicographic Goal Programming Approach For Portfolio Optimization, Mehdi Jafarian, Azizolah Jafari
Mehdi Jafarian
The mean variance model of portfolio optimization that was introduced by Markowitz includes two conflicted objective functions. These two criteria, risk and return does not encompass all of the information about investment. Information like liquidity, annual dividends and performance in later years. Thus portfolio selection is a usual multi-objective decision making (MODM) problem. This paper will investigate the optimum portfolio for a private investor, taking into account 6 criteria. It is well known that GP, based on preemptive priorities and target values, has been successful in solving MODM problems. In this paper we classify the MODM model with consideration of …