A Goal Programming Portfolio Selection Model

Download or read book A Goal Programming Portfolio Selection Model written by Saurabh Agarwal and published by . This book was released on 2016 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: The rapid growth of the voluminous literature on portfolio selection is indicative of widespread interest both amongst academic and business communities. The path breaking works of Nobel Laureates Harry Markowitz, William Sharpe and Robert Merton has evoked a serious interest of researchers globally in this field over the years. The possibility of earning high returns by investing in equity portfolio is accompanied by high return variability. However, managing this risk-return paradox by incorporating multi-objective criteria has largely remained unexplored in current academic literature and hence provides the rationale for undertaking research in this field. Using multi-objective portfolio selection criteria, an investor is able to choose a “satisficing” portfolio within a range of efficient portfolios lying in the feasible region. The primary objective of this work is to develop and suggest multi-objective criteria to the problem of portfolio selection decision both under conditions of certainty and uncertainty by making use of the potentials of the goal programming approach. The empirical study revealed that four factors namely Timing of Portfolio, Security from Portfolio, Knowledge of Portfolio selection and Life Cycle Portfolio affect portfolio objectives. Goal programming portfolio selection model formulated and tested on monthly and annual data of 11 years (1.4.99-31.3.2010) for securities part of Bombay Stock Exchange Sensex has provided a solution to the multi-objective optimisation problem even while there are conflicting objectives and constraints. The Goal Programming model formulated and applied would be of immense help in selecting an optimum solution and would be very relevant particularly to Foreign Institutional Investors (FIIs), Mutual Funds and Large investors.