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2 edition of use of goal programming and its extensions for portfolio problems found in the catalog.

use of goal programming and its extensions for portfolio problems

Zulkifli Mohd Nopiah

use of goal programming and its extensions for portfolio problems

by Zulkifli Mohd Nopiah

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Published by University of Portsmouth, School of Computer Science and Mathematics in Portsmouth .
Written in English


Edition Notes

StatementZulkifli Mohd Nopiah.
ID Numbers
Open LibraryOL19645972M

The goal is then to choose the portfolio weighting factors optimally. In the context of the Markowitz theory an optimal set of weights is one in which the portfolio achieves an acceptable baseline expected rate of return with minimal volatility. Here the variance of the rate of return of an instrument is taken as a surrogate for its volatility.   This volume constitutes the proceedings of the Fourth International Conference on Multi-objective Progranuning and Goal Programming. Theory & Applications (MOPGP'OO) held in Ustron, Poland on May 29 - June 1, Sixty six people from 15 countries attended the conference and 53 papers were presented. MOPGP'OO was organized by the Department of Operations Research, The .

sequent extensions to other spheres (e.g., governmental applications) which we may designate as the area of "public management science". In short, goal programming was designed as a "work horse" — strong and rugged and easy to use — rather than as a "thoroughbred" requiring. Goal Programming Applications in Accounting 74 Goal Programming Applications in Agriculture 76 Goal Programming Applications in Economics 78 Goal Programming Applications in Engineering 79 Goal Programming Applications in Finance 80 Goal Programming Applications in Government 83 Goal Programming Applications in an International Context 88 Goal Programming Applications in Management 90 Goal 5/5(1).

The goals are established by setting the constraint formulas in G5 to G7 equal to the goal levels in cells I5 to I7. Exhibit (This item is displayed on page in the print version) When using a spreadsheet (or any regular linear programming program) to solve a goal programming problem, it must be solved sequentially. In this procedure. Actions are written in a standard programming language (I currently support Java and ML). Each action is asynchronous, and generates an event when completed (in all these cases, this would be the reply to an RPC). The value of the event would be bound to the goal. For example, Goal-3 depends on the results of Goal-1 and Goal


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Use of goal programming and its extensions for portfolio problems by Zulkifli Mohd Nopiah Download PDF EPUB FB2

Application of Goal Programming to portfolio selection, the development and testing of new weighting schemes and a novel approach in extending Goal Programming models to incorporate several factors for global portfolio selection and analysis. Goal Programming (GP) is 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.

Goal programming is a branch of multiobjective optimization, which in turn is a branch of multi-criteria decision analysis (MCDA). It can be thought of as an extension or generalisation of linear programming to handle multiple, normally conflicting objective measures.

Each of these measures is given a goal or target value to be achieved. Goal programming is a branch of multiobjective optimization, which in turn is a branch of multi-criteria decision analysis (MCDA).

This is an optimization program. Abstract Goal Programming (GP) is 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, particularly in the field of Portfolio.

Goal Programming (GP) is 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, particularly in the field of Portfolio Selection (PS). This paper presents a review of the current literature on the branch of multi-criteria decision modelling known as Goal Programming (GP).

The result of our indepth investigations of the two main GP methods, lexicographic and weighted GP together with their distinct application areas is reported. Some guidelines to the scope of GP as an application tool are given and methods of determining.

led to extensions in the methodology of goal programming. Those extensions are. summarized here. In addition, this paper summarizes some of the limitations in the application ofgoal. programming in the financial dimension.

It is found that over the years there have. been few documented cases of the use ofgoal programming in financial. Goal programming problems can be categorized according to the type of mathemat-ical programming model (linear programming, integer programming, nonlinear program-ming, etc.) that it fits except for having multiple goals instead of a single objective.

In this book, we only consider linear goal programming—those goal programming problems. linear goal programming problems can be solved by easily available linear programming routines. An important drawback of multiple goal programming is its need for fairly detailed a priori information on the decision-maker's preferences.

Goal programming is used to manage a set of conflict. The problem is called a nonlinear programming problem (NLP) if the objective to give a nonlinear extension to any linear program. Moreover, the constraint x =0 or 1 can be modeled as x(1 −x) =0 and the constraint x integer as sin (πx) =0.

Nonlinear Programming Figure Portfolio-selection example for various values ofθ. 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 : Rania Ahmed Azmi.

1. Introduction. The concept of goal programming (GP) was first introduced by Charnes and Cooper in as a tool to resolve infeasible linear programming (LP) problems. Thereafter, the significant methodological development of GP was made by Ijiri, Lee and Ignizio and others.

As a promising tool for solving problems involving multiple conflicting objectives, GP has been studied. An effective way of evaluating bank’s credit policies for loan portfolio is through the Goal programming approach [2,3,6]. Goal programming is an extension of linear programming in which management objectives are treated as goals to be attained as closely as possible within the practical constraints of the problem.

Weighted vs. Preemptive Goal Programming • Weighted goal programming is designed for problems where all the goals are quite important, with only modest differences in importance that can be measured by assigning weights to the goals.

• Preemptive goal programming is used when there are major differences in the importance of the goals. Goal programming is an extension of linear programming in which targets are specified for a set of constraints.

In goal programming there are two basic models: the pre–emptive (lexicographic) model and the Archimedean model. In the pre–emptive model, goals are ordered according to priorities.

dynamic, stochastic, conic, and robust programming) encountered in nan-cial models. For each problem class, after introducing the relevant theory (optimality conditions, duality, etc.) and e cient solution methods, we dis-cuss several problems of mathematical nance that can be modeled within this problem.

Multiple Criteria & Goal Programming Chapter 14 limitations: (a) it may take a lot of work to construct it, and (b) it will probably be highly nonlinear.

Feature (b) means we probably cannot use LP to solve the problem. Trade-off Curves If we have only two or three criteria, then the trade-off curve approach has most of the attractive. straints of a linear programming problem in the form of strict equalities. By introducing new variables to the problem that represent the di erence between the left and the right-hand sides of the constraints, we eliminate this concern.

Subtracting a slack variable from a \greater than or equal to" constraint or. A goal programming model was developed in this study to obtain the optimal solution of goals.

The goals and constraints must be involved to formulate the model. The objective function of the weight goal programming model is a single objective function of the weighted sum of the functions representing the goals of the problems. This example shows how to use PROC LP to solve a linear goal-programming problem.

PROC LP has the ability to solve a series of linear programs, each with a new objective function. These objective functions are ordered by priority.

The first step is to solve a linear program with the highest priority objective function constrained only by the.The two examples (recursion and Goal Programming) in this chapter show how Mosel can be used to implement extensions of Linear Programming.

Recursion. Recursion, more properly known as Successive Linear Programming, is a technique whereby LP may be used to solve certain non-linear problems. Some coefficients in an LP problem are defined to be.We can use CPLEX to solve the mixed integer goal programming and get the exact optimal solution.

For the problem with p teams and m-student in each team, there are p*m binary variables xij and 2p deviation variables djk + and d jk. Also, if there are q goals relating to students’ attributes, for all the team, there will be q*p constraints.