Goal programming for financial portfolio management: a state-of-the-art review.
Cinzia ColapintoDavide La TorreBelaïd AouniPublished in: Oper. Res. (2019)
Keyphrases
- portfolio management
- goal programming
- portfolio optimization
- financial data
- portfolio selection
- multi criteria
- mathematical programming
- transaction costs
- multiple objectives
- decision making
- sharpe ratio
- data envelopment analysis
- analytic hierarchy process
- factor analysis
- literature review
- stock market
- clustering algorithm
- financial time series
- optimization problems
- conflicting objectives
- multi objective