Goal programming models and their duality relations for use in evaluating security portfolio and regression relations

DOI10.1016/S0377-2217(96)00358-XzbMATH Open0930.91013OpenAlexW2090390941MaRDI QIDQ1278699FDOQ1278699

Authors: K. Appert 

Publication date: 22 February 1999

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0377-2217(96)00358-x

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zbMATH Keywords

riskdualitygoal programmingportfolio planningleast absolute value regressions

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Applications of mathematical programming (90C90)

Cites Work

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Cited In (11)

• Title not available (Why is that?)
• Efficiency of financial institutions: International survey and directions for future research
• Contributions of Professor William W. Cooper in operations research and management science
• Accomodating diverse institutional investment objectives and constraints using nonlinear goal programming
• Multi-criteria decision analysis with goal programming in engineering, management and social sciences: a state-of-the art review
• Viability of infeasible portfolio selection problems: A fuzzy approach
• On the construction of mutual fund portfolios: a multicriteria methodology and an application to the Greek market of equity mutual funds
• Goal programming model: A glorious history and a promising future
• Feature issue: Multiobjective programming and goal programming
• On constructing expert Betas for single-index model
• Financial portfolio management through the goal programming model: current state-of-the-art

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