On the Selection and the Performance Evaluation of a Multiple Criteria Investment Portfolio: Goal Programming Approach

Subject Areas : Futurology

A.A. Anvary Rostamy ^{1 *}

1 - ندارد

Received: 2015-02-22 Accepted : 2015-02-22 Published : 2000-03-20

Keywords:

Abstract :

According to the traditional portfolio theory, investors select and their portfolio based on the portfolio risk and return. This paper provides an appraisement to the traditional portfolio selection and performance evaluation methods. In most of practical cases, it is interesting for investors to consider several non classical criteria, such as taxability, liquidity, as well the classical criteria of risk and return. For the cases with several and specially conflicting objectives, traditional methods can not provide any guidelines. In this paper, Goal Programming (GP) technique is used in order to select the optimal portfolio based on the investors preferences. For the performance evaluation, a new procedure and a new mathematical equation, that measure the Total Changes in Decision Maker’s Utility (TCDMU), is provided. The proposed procedure and equation is more explained by a numerical example. Finally, conclusions and final remarks is provided.