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Portfolio Selection Via Goal Programming

  • Conference paper
Financial Modelling

Part of the book series: Contributions to Management Science ((MANAGEMENT SC.))

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Abstract

This paper describes a program developed in Visual Basic to assist the periodical portfolio selection. Decision Maker will be able to determine the level of the normal objectives, profitability and risk, depending on his/her preferences. The technique used has been Goal Programming, together with a sequential sensitivity analysis in order to obtain efficient solutions.

This programme has been tested with different scenarios of the market, and the results are shown. The final idea is to develop a trading system, where we have optimised the indicators to represent the future profitability and the risk in different market scenarios, giving the DM the possibility to trade between risk and profit with more reliability.

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References

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Author information

Authors and Affiliations

  1. Department of Applied Economics (Mathematics), University of Málaga, Campus El Ejido s/n, Málaga, 29071, Spain

    Rafael Caballero, José Manuel Cabello, Analía Cano & Francisco Ruiz

Authors
  1. Rafael Caballero
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  2. José Manuel Cabello
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  3. Analía Cano
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  4. Francisco Ruiz
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Editor information

Editors and Affiliations

  1. Department of Financial Economics and Mathematics, University of Valencia, Avda. de los Naranjos s/n., Valencia, 46022, Spain

    María Bonilla , Trinidad Casasús  & Ramón Sala ,  & 

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© 2000 Springer-Verlag Berlin Heidelberg

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Caballero, R., Cabello, J.M., Cano, A., Ruiz, F. (2000). Portfolio Selection Via Goal Programming. In: Bonilla, M., Casasús, T., Sala, R. (eds) Financial Modelling. Contributions to Management Science. Physica, Heidelberg. https://doi.org/10.1007/978-3-642-57652-2_6

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  • DOI: https://doi.org/10.1007/978-3-642-57652-2_6

  • Publisher Name: Physica, Heidelberg

  • Print ISBN: 978-3-7908-1282-4

  • Online ISBN: 978-3-642-57652-2

  • eBook Packages: Springer Book Archive

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