Applying the Recourse Goal Programming Approach to the Portfolio Selection Problem

DOI: 10.5176/2251-1938_ORS57

Authors: Meryem Masmoudi and Fouad Ben Abdelaziz

Abstract:

This paper offers a multiobjective stochastic model for the portfolio selection problem. The model presents two objective functions, the portfolio return and the portfolio risk. We propose a recourse approach to deal with the portfolio return objective function and a goal programming approach to deal with the portfolio risk objective function. The model and the solution strategy are illustrated using real data from Muscat security market.

Keywords: multiobjective portfolio selection; multiobjective stochastic programming; recourse appraoch; goal programming