Portfolio selection through the goal programming model: An overview

The main objective of the mutli-attribute portfolio selection methodology is to aggregate several conflicting and incommensurable objectives in order to choose a set of stocks (assets, securities) that will form the best financial portfolio. The attributes can be the return on investment, risk and liquidity. These objectives cannot be optimized simultaneously. Hence, the most satisfactory portfolio is the one of the best compromise. The compromises are guided by the preferences, the experience, the intuition and the judgement of the Financial Decision-Maker. In fact, multiple objectives and multi-criteria decision aid tools have been utilized for many years in finance. Goal Programming (GP) is one of these models that has been widely applied to solve portfolio selection problem. The aim of this paper is to highlight the different GP variants that have been applied for the portfolio selection problem.