Investment Portfolio Selection Using Goal Programming
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Investment Portfolio Selection Using Goal Programming
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Author : Rania Azmi
language : en
Publisher: Cambridge Scholars Publishing
Release Date : 2014-10-16
Investment Portfolio Selection Using Goal Programming written by Rania Azmi and has been published by Cambridge Scholars Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-10-16 with Business & Economics categories.
This book provides both practitioners and academics with a scientific approach to portfolio selection using Goal Programming, an approach which is capable as far as is possible of achieving a required set of preferences deemed appropriate by a decision maker. Goal Programming is perhaps the most widely-used approach in the field of multiple criteria decision-making that enables the decision maker to incorporate numerous variations of constraints and goals. The original portfolio selection problem, with risk and return optimisation, can be viewed as a case of Goal Programming with two objectives. Additional objectives representing other factors, such as liquidity, can be introduced for a more realistic approach to portfolio selection problems. This book comes in a time where scientific frameworks for investment decision-making are absolutely necessary, that is after the recent financial and economic crisis; where irrational decisions and a misuse of mathematical models had equally fed into the spiral of the financial crisis. The real-world decision problems are usually changeable, complex and resist treatment with conventional approaches. Therefore, the optimisation of a single objective subject to a set of rigid constraints is in most cases unrealistic, and that is why Goal Programming was introduced, in an attempt to eliminate or at least mitigate this shortcoming. Most mathematical models are based on very strong theoretical assumptions which are not entirely respected by markets in practice. In contrast, Goal Programming models are based on real-world cases where the most feasible solution is sought as opposed to an ideal simplified solution. Therefore, this book provides practitioners with a new and superior scientific framework for investment decision-making, while aiming to stimulate further research and development. Moreover, the book provides scientific approaches for portfolio selection with Goal Programming, which will provide added value for practitioners in complementing their financial expertise with a sound scientific decision-making framework.
Portfolio Selection Using Multi Objective Optimisation
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Author : Saurabh Agarwal
language : en
Publisher: Springer
Release Date : 2017-08-21
Portfolio Selection Using Multi Objective Optimisation written by Saurabh Agarwal and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-08-21 with Business & Economics categories.
This book explores the risk-return paradox in portfolio selection by incorporating multi-objective criteria. Empirical research is presented on the development of alternate portfolio models and their relative performance in the risk/return framework to provide solutions to multi-objective optimization. Next to outlining techniques for undertaking individual investor’s profiling and portfolio programming, it also offers a new and practical approach for multi-objective portfolio optimization. This book will be of interest to Foreign Institutional Investors (FIIs), Mutual Funds, investors, and researchers and students in the field.
Practical Goal Programming
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Author : Dylan Jones
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-03-10
Practical Goal Programming written by Dylan Jones and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-03-10 with Business & Economics categories.
Practical Goal Programming is intended to allow academics and practitioners to be able to build effective goal programming models, to detail the current state of the art, and to lay the foundation for its future development and continued application to new and varied fields. Suitable as both a text and reference, its nine chapters first provide a brief history, fundamental definitions, and underlying philosophies, and then detail the goal programming variants and define them algebraically. Chapter 3 details the step-by-step formulation of the basic goal programming model, and Chapter 4 explores more advanced modeling issues and highlights some recently proposed extensions. Chapter 5 then details the solution methodologies of goal programming, concentrating on computerized solution by the Excel Solver and LINGO packages for each of the three main variants, and includes a discussion of the viability of the use of specialized goal programming packages. Chapter 6 discusses the linkages between Pareto Efficiency and goal programming. Chapters 3 to 6 are supported by a set of ten exercises, and an Excel spreadsheet giving the basic solution of each example is available at an accompanying website. Chapter 7 details the current state of the art in terms of the integration of goal programming with other techniques, and the text concludes with two case studies which were chosen to demonstrate the application of goal programming in practice and to illustrate the principles developed in Chapters 1 to 7. Chapter 8 details an application in healthcare, and Chapter 9 describes applications in portfolio selection.
Multiobjective Programming And Goal Programming
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Author : Vincent Barichard
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-01-30
Multiobjective Programming And Goal Programming written by Vincent Barichard and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-01-30 with Business & Economics categories.
This book gives the reader an insight into the state of the art in the field of multiobjective (linear, nonlinear and combinatorial) programming, goal programming and multiobjective metaheuristics. The 26 papers describe all relevant trends in this fields of research . They cover a wide range of topics ranging from theoretical investigations to algorithms, dealing with uncertainty, and applications to real world problems such as engineering design, water distribution systems and portfolio selection. The book is based on the papers of the seventh international conference on multiple objective programming and goal programming (MOPGP06).
New Developments In Multiple Objective And Goal Programming
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Author : Dylan Jones
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-03-17
New Developments In Multiple Objective And Goal Programming written by Dylan Jones and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-03-17 with Mathematics categories.
This volume shows the state-of-the-art in both theoretical development and application of multiple objective and goal programming. Applications from the fields of supply chain management, financial portfolio selection, financial risk management, insurance, medical imaging, sustainability, nurse scheduling, project management, water resource management, and the interface with data envelopment analysis give a good reflection of current usage. A pleasing variety of techniques are used including models with fuzzy, group-decision, stochastic, interactive, and binary aspects. Additionally, two papers from the upcoming area of multi-objective evolutionary algorithms are included. The book is based on the papers of the 8th International Conference on Multi-Objective and Goal Programming (MOPGP08) which was held in Portsmouth, UK, in September 2008.
Socially Responsible Investment
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Author : Enrique Ballestero
language : en
Publisher: Springer
Release Date : 2014-11-18
Socially Responsible Investment written by Enrique Ballestero and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-18 with Business & Economics categories.
This book integrates socially responsible investment into modern portfolio theory from a multi-criteria perspective. Socially responsible investment is a “new deal” championed by the institutional investment and bank sectors, agents that influence mutual funds and other collective investment schemes and which fear that financial strategies without ethical constraints can harm sustainable growth and prosperity. The book shows how to combine financial criteria such as profitability and risk with non-financial criteria such as the protection of the ecosystem, responsible consumption of energy, and healthcare campaigns. The book’s first part presents critical issues in ethical investment, while the second explains in detail the application of goal programming techniques for SRI funds, illustrating their use in actual cases. Part three demonstrates how compromise programming can be applied in the contexts of portfolio selection and risk management. Finally, in its fourth part the book examines the application of other decision-making support methods like the Analytic Hierarchy Process (AHP) framework, the Reference Point Method, and soft computing techniques for portfolio selection.
Multicriteria Portfolio Construction With Python
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Author : Elissaios Sarmas
language : en
Publisher: Springer Nature
Release Date : 2020-10-17
Multicriteria Portfolio Construction With Python written by Elissaios Sarmas and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-10-17 with Business & Economics categories.
This book covers topics in portfolio management and multicriteria decision analysis (MCDA), presenting a transparent and unified methodology for the portfolio construction process. The most important feature of the book includes the proposed methodological framework that integrates two individual subsystems, the portfolio selection subsystem and the portfolio optimization subsystem. An additional highlight of the book includes the detailed, step-by-step implementation of the proposed multicriteria algorithms in Python. The implementation is presented in detail; each step is elaborately described, from the input of the data to the extraction of the results. Algorithms are organized into small cells of code, accompanied by targeted remarks and comments, in order to help the reader to fully understand their mechanics. Readers are provided with a link to access the source code through GitHub. This Work may also be considered as a reference which presents the state-of-art research on portfolio construction with multiple and complex investment objectives and constraints. The book consists of eight chapters. A brief introduction is provided in Chapter 1. The fundamental issues of modern portfolio theory are discussed in Chapter 2. In Chapter 3, the various multicriteria decision aid methods, either discrete or continuous, are concisely described. In Chapter 4, a comprehensive review of the published literature in the field of multicriteria portfolio management is considered. In Chapter 5, an integrated and original multicriteria portfolio construction methodology is developed. Chapter 6 presents the web-based information system, in which the suggested methodological framework has been implemented. In Chapter 7, the experimental application of the proposed methodology is discussed and in Chapter 8, the authors provide overall conclusions. The readership of the book aims to be a diverse group, including fund managers, risk managers, investment advisors, bankers, private investors, analytics scientists, operations researchers scientists, and computer engineers, to name just several. Portions of the book may be used as instructional for either advanced undergraduate or post-graduate courses in investment analysis, portfolio engineering, decision science, computer science, or financial engineering.
Linear And Mixed Integer Programming For Portfolio Optimization
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Author : Renata Mansini
language : en
Publisher: Springer
Release Date : 2015-06-10
Linear And Mixed Integer Programming For Portfolio Optimization written by Renata Mansini and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-06-10 with Business & Economics categories.
This book presents solutions to the general problem of single period portfolio optimization. It introduces different linear models, arising from different performance measures, and the mixed integer linear models resulting from the introduction of real features. Other linear models, such as models for portfolio rebalancing and index tracking, are also covered. The book discusses computational issues and provides a theoretical framework, including the concepts of risk-averse preferences, stochastic dominance and coherent risk measures. The material is presented in a style that requires no background in finance or in portfolio optimization; some experience in linear and mixed integer models, however, is required. The book is thoroughly didactic, supplementing the concepts with comments and illustrative examples.
Effective Investments On Capital Markets
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Author : Waldemar Tarczyński
language : en
Publisher: Springer
Release Date : 2019-07-17
Effective Investments On Capital Markets written by Waldemar Tarczyński and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-07-17 with Business & Economics categories.
This proceedings volume presents current research and innovative solutions into capital markets, particularly in Poland. Featuring contributions presented at the 10th Capital Market Effective Investments (CMEI 2018) conference held in Międzyzdroje, Poland, this book explores the future of capital markets in Poland as well as comparing it with the capital markets of other developed regions around the world. Divided into four parts, the enclosed papers provide a background into the theoretical foundations of capital market investments, explores different approaches—both classical and contemporary—to investment decision making, analyzes the behaviors of investors using experimental economics and behavioral finance, and explores practical issues related to financial market investments, including real case studies. In addition, each part of the book begins with an introductory chapter written by thematic editors that provides an outline of the subject area and a summary of the papers presented.
Applications Of Mathematical Modeling Machine Learning And Intelligent Computing For Industrial Development
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Author : Madhu Jain
language : en
Publisher: CRC Press
Release Date : 2023-06-07
Applications Of Mathematical Modeling Machine Learning And Intelligent Computing For Industrial Development written by Madhu Jain and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-06-07 with Computers categories.
The text focuses on mathematical modeling and applications of advanced techniques of machine learning, and artificial intelligence, including artificial neural networks, evolutionary computing, data mining, and fuzzy systems to solve performance and design issues more precisely. Intelligent computing encompasses technologies, algorithms, and models in providing effective and efficient solutions to a wide range of problems, including the airport’s intelligent safety system. It will serve as an ideal reference text for senior undergraduate, graduate students, and academic researchers in fields that include industrial engineering, manufacturing engineering, computer engineering, and mathematics. The book: Discusses mathematical modeling for traffic, sustainable supply chain, vehicular Ad-Hoc networks, and internet of things networks with intelligent gateways Covers advanced machine learning, artificial intelligence, fuzzy systems, evolutionary computing, and data mining techniques for real- world problems Presents applications of mathematical models in chronic diseases such as kidney and coronary artery diseases Highlights advances in mathematical modeling, strength, and benefits of machine learning and artificial intelligence, including driving goals, applicability, algorithms, and processes involved Showcases emerging real-life topics on mathematical models, machine learning, and intelligent computing using an interdisciplinary approach The text presents emerging real-life topics on mathematical models, machine learning, and intelligent computing in a single volume. It will serve as an ideal text for senior undergraduate students, graduate students, and researchers in diverse fields, including industrial and manufacturing engineering, computer engineering, and mathematics.