Article ID: | iaor201524369 |
Volume: | 21 |
Issue: | 6 |
Start Page Number: | 919 |
End Page Number: | 933 |
Publication Date: | Nov 2014 |
Journal: | International Transactions in Operational Research |
Authors: | Abdelaziz Fouad Ben, Masmoudi Meryem |
Keywords: | programming: multiple criteria, programming: goal |
When selecting a portfolio, we need to consider, in general, the portfolio return and portfolio risk. Many risk measures have been used in portfolio selection problems as the Beta risk measure, introduced by the capital asset pricing model. Most of the existing research papers suppose that security's Beta has a deterministic value. Recently, many researchers argued that in selecting the optimal portfolio, securities’ Beta should be considered as an uncertain parameter. In this paper, we set up fundamentals to model the portfolio's Beta as a random variable and propose a multiple objective stochastic portfolio selection model with random Beta. To solve the proposed model, we apply a stochastic goal programming approach. A numerical example from the US stock exchange market is reported.