Allocating total wealth: A goal programming approach

Prior linear goal programming (LGP) models have demonstrated that multiple goals (e.g. liquidity, return on investment, etc.) can be considered in addition to the goal of maximizing wealth. Unfortunately, these prior studies have not considered a real-world investor’s total wealth including nonmarketable assets. In this paper an LGP model is developed for allocating an investor’s total wealth. Demonstration of the informational efficiency of the modeling approach in portfolio analysis is also presented.