Article ID: | iaor20132509 |
Volume: | 50 |
Issue: | 3 |
Start Page Number: | 134 |
End Page Number: | 139 |
Publication Date: | Apr 2013 |
Journal: | INFOR: Information Systems and Operational Research |
Authors: | Masmoudi Meryem, Ben Abdelaziz Fouad |
Keywords: | investment, programming: probabilistic |
This paper presents a recourse goal programming approach to a multiple objective stochastic programming portfolio selection model. The main assumption of our approach is that the investor has a minimum acceptable expected rate of return to achieve under some predefined risk restrictions. The risk restrictions are expressed through constraints on the optimal portfolio beta value. The model and the solution strategy are illustrated with data from securities listed in the S&P100 index.